International Bond Risk Premia PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download International Bond Risk Premia PDF full book. Access full book title International Bond Risk Premia by Magnus Dahlquist. Download full books in PDF and EPUB format.
Author: Magnus Dahlquist
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
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
Author: Magnus Dahlquist
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
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
Author: Magnus Dahlquist
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
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.
Author:
Publisher: Springer-Verlag
ISBN: 3663085287
Category : Business & Economics
Languages : de
Pages : 306
Get Book Here
Book Description
Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments.
Author: Jesus Sierra
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Joëlle Miffre
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
Get Book Here
Book Description
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.
Author: Boris Hofmann
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Iryna Kaminska
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Bank of Canada
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
Author: Peter Oertmann
Publisher:
ISBN:
Category :
Languages : en
Pages : 70
Get Book Here
Book Description
Author: Leonardo Iania
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
Get Book Here
Book Description
We employ an affine term structure model with no-arbitrage restrictions to analyze the global and domestic determinants of bond risk premia in major emerging markets. Our model captures (long-term) movements of realized risk premia and indicates that global economic and financial factors play a relevant role in explaining country-specific bond risk premia. We also provide evidence of heterogeneous responses of country-specific risk premia to global shocks.
