International Bond Risk Premia

• 成果类型: Article
• 署名作者: Dahlquist, Magnus; Hasseltoft, Henrik
• 署名单位: Stockholm School of Economics; University of Zurich; Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.11.008
• 发表日期: 2013
• 页码: 17-32
• 关键词: Affine model; Local and global factors; time-varying risk premia

摘要

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in the global factor seem to drive risk premia and expected short-term interest rates in opposite directions. We consider an affine term-structure model in which risk premia are driven by one local and one global factor. Shocks to these factors account for only a small fraction of yield variance and the cross-section of yields conveys little information about the factors. Finally, correlations between international bond risk premia have increased over time, suggesting an increase in integration between markets. (C) 2012 Elsevier B.V. All rights reserved.