کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963940 1479167 2015 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Out-of-sample bond risk premium predictions: A global common factor
ترجمه فارسی عنوان
پیش بینی های حق بیمه ریسک بی سابقه ای: فاکتور مشترک جهانی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• A global Cochrane–Piazzesi factor predicts international bond risk premia.
• The global factor delivers systematic economic value.
• The global factor is related to international economic activity.

This paper investigates the out-of-sample predictability of international bond risk premia. We endogenously construct a global common Cochrane and Piazzesi (2005) factor. We find that the global factor strongly predicts international bond risk premia and delivers economically significant gains relative to the historical average. The forecasting power of the global factor is above and beyond the predictive power contained in country-specific factors. As predicted by economic theories, bond return forecasts appear countercyclical. We also find that the global factor is related to international economic activity.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 51, March 2015, Pages 155–173
نویسندگان
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