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