International Bond Risk Premia
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International Bond Risk Premia
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Author : Magnus Dahlquist
language : en
Publisher:
Release Date : 2015
International Bond Risk Premia written by Magnus Dahlquist and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The endeavor to understand bond returns and the term structure of interest rates has generated an extensive literature, ranging from papers on return predictability and affine term structure models to theoretical contributions in the form of equilibrium models. While most of the empirical literature focuses on US data, a large body of work applies an international perspective. This chapter reviews the relevant literature while also providing empirical evidence on international bond risk premia and the link to the macroeconomy.
International Bond Risk Premia
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Author : Magnus Dahlquist
language : en
Publisher:
Release Date : 2011
International Bond Risk Premia written by Magnus Dahlquist and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
We identify local and global factors across international bond markets that are poorly spanned by the traditional level, slope and curvature factors but have strong forecasting power for future bond excess returns. Local and global factors are jointly significant predictors of bond returns, where the global factor is closely linked to US bond risk premia and international business cycles. Motivated by our results, we estimate a no-arbitrage affine term structure model for each country in which movements in risk premia are driven by one local and one global factor. Yield loadings for the two factors are estimated to be close to zero while shocks to risk premia account for a small fraction of yield variance. This suggests that the cross-section of yields conveys little information about the return-forecasting factors. We show that shocks to global risk premia cause off-setting movements in expected returns and expected future short-term interest rates, leaving current yields little affected. Furthermore, correlations between international bond risk premia have increased over time, indicating an increase in integration between markets. Affine model, local and global factors, time-varying risk premia
Global Risk Premia On International Investments
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Author :
language : de
Publisher: Springer-Verlag
Release Date : 2013-07-01
Global Risk Premia On International Investments written by and has been published by Springer-Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-01 with Business & Economics categories.
Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments.
International Capital Flows And Bond Risk Premia
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Author : Jesus Sierra
language : en
Publisher:
Release Date : 2010
International Capital Flows And Bond Risk Premia written by Jesus Sierra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
A Global Factor In Variance Risk Premia And Local Bond Pricing
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Author : Iryna Kaminska
language : en
Publisher:
Release Date : 2015
A Global Factor In Variance Risk Premia And Local Bond Pricing written by Iryna Kaminska and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Bond Risk Premia And The Exchange Rate
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Author : Boris Hofmann
language : en
Publisher:
Release Date : 2019
Bond Risk Premia And The Exchange Rate written by Boris Hofmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Conditional Risk Premia In International Government Bond Markets
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Author : Joëlle Miffre
language : en
Publisher:
Release Date : 2016
Conditional Risk Premia In International Government Bond Markets written by Joëlle Miffre and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The paper estimates conditional pricing models for 11 international government bonds and shows that, while local instruments capture the change in the bonds' risks, global instruments model the variation in the factor risk premia. Altogether the changes in the factor risk premium capture 78.25% of the bonds' predictability, while the dynamics in the betas account for less than 1%. One cannot conclude however that the conditional models are well-specified as parameter instability and relatively large mean squared errors were uncovered. These results extend for the first time some of the evidence from the equity market of Ferson and Harvey (1993), Harvey (1995) and Ghysels (1998) to the bond market.
International Capital Flows And Bond Risk Premia June 2010
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Author : Bank of Canada
language : en
Publisher:
Release Date : 2010
International Capital Flows And Bond Risk Premia June 2010 written by Bank of Canada and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Global Bond Risk Premiums
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Author : Rebecca Hellerstein
language : en
Publisher:
Release Date : 2011
Global Bond Risk Premiums written by Rebecca Hellerstein and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This paper examines time-varying measures of term premiums across ten developed economies. It shows that a single factor accounts for most of the variation in expected excess returns over time, across the maturity spectrum, and across countries. I construct a global return forecasting factor that is a GDP-weighted average of each country's local return forecasting factor and show that it has information not spanned by the traditional level, slope, curvature factors of the term structure, or by the local return forecasting factors. Including the global forecasting factor in the model produces estimates of spillover effects that are consistent with our conceptual understanding of these flows, both in direction and magnitude. These effects are illustrated for three episodes: the period following the Russian default in 1998, the bond conundrum period from mid-2004 to mid-2006, and the period since the onset of the global financial crisis in 2008. -- term premium ; bond risk premiums ; international spillover effects
Time Varying Risk Premia In International Stock And Bond Markets
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Author : Peter Oertmann
language : en
Publisher:
Release Date : 1995
Time Varying Risk Premia In International Stock And Bond Markets written by Peter Oertmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.