Sovereign risk premia and global macroeconomic conditions

• 成果类型: Article
• 署名作者: Andrade, Sandro C.; Ekponon, Adelphe; Jeanneret, Alexandre
• 署名单位: University of Miami; University of Liverpool; University of Ottawa; University of New South Wales Sydney
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.07.003
• 发表日期: 2023
• 页码: 172-197
• 关键词: Sovereign bonds; Risk premium; Consumption-based asset pricing; Credit risk; MACROECONOMIC CONDITIONS

摘要

We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to higher-frequency macroeconomic shocks. Our model predicts that the first source, labeled long-run macro risk, is the primary driver of the level and the cross-sectional variation in sovereign bond premia. We find support for this prediction using sovereign bond return data for 43 countries over the 1994-2018 period. A long-short portfolio based on long-run macro risk earns 8.11% per year in our sample. (c) 2022 Elsevier B.V. All rights reserved.