Article ID Journal Published Year Pages File Type
963086 Journal of International Economics 2013 16 Pages PDF
Abstract
► We find evidence for time-varying risk premia across international bond markets. ► Local and global factors jointly predict returns. ► The global factor is linked to US risk premia and international business cycles. ► The return-forecasting factors are poorly spanned by common principal components of yields. ► We consider a term structure model where global and local factors drive risk premia.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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