Unspanned Global Macro Risks in Bond Returns

• 成果类型: Article
• 署名作者: Zhao, Feng; Zhou, Guofu; Zhu, Xiaoneng
• 署名单位: University of Texas System; University of Texas Dallas; Washington University (WUSTL); Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3852
• 发表日期: 2021
• 页码: 7825-7843
• 关键词: Bond risk premia; global economic factors; real-time macroeconomic factors; macro-finance term structure models; macro-spanning puzzle

摘要

We examine the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macroeconomic variables that are not subject to revisions, we find that global macro factors have predictive power for bond returns unspanned by yield factors. Furthermore, we estimate macro-finance term structure models with the unspanned global macro factors and find that the global macro factors influence the market prices of level and slope risks and induce comovements in forward term premia in global bond markets.