Assume that a US bond investor has invested in Canadian government bonds. Th e duration of a

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Assume that a US bond investor has invested in Canadian government bonds. Th e duration of a 12-year Canadian government bond is 8.40, and the Canadian country beta is 0.63. Interest rates in the United States are expected to change by approximately 80 bps. How much can the US investor expect the Canadian bond to change in value if US rates change by 80 bps?

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