کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5089886 | 1375609 | 2011 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
International evidence on bond risk premia
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper revisits the study of time-varying excess bond returns in international bond markets. Using newly available yield curve data from 10 different countries with independent monetary policy, I test the robustness of Cochrane and Piazzesi (2005). For most countries in my sample, I find more modest predictive power for forward rates than originally found by Cochrane and Piazzesi (2005) for the US. Their single-factor model captures well the predictability in international data, and this factor also tends to have a tent-shape in most countries of my sample. CP factors are more idiosyncratic across countries than yields or forward rates. Finally, I show that the recent financial crisis has significantly affected the predictability of excess bond returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 1, January 2011, Pages 174-181
Journal: Journal of Banking & Finance - Volume 35, Issue 1, January 2011, Pages 174-181
نویسندگان
Rodrigo Sekkel,