Global bond risk premia under falling stars

Zhang, Y; Zhu, J; Zhu, X

Global bond risk premia under falling stars

Zhang, Y Zhu, J Zhu, X

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Publisher:: ACADEMIC PRESS INC ELSEVIER SCIENCE
Publication Type:: Journal Article
Citation:: Finance Research Letters, 2021, 42
Issue Date:: 2021-10-01

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Field	Value	Language
dc.contributor.author	Zhang, Y
dc.contributor.author	Zhu, J
dc.contributor.author	Zhu, X
dc.date.accessioned	2022-07-01T21:47:43Z
dc.date.available	2022-07-01T21:47:43Z
dc.date.issued	2021-10-01
dc.identifier.citation	Finance Research Letters, 2021, 42
dc.identifier.issn	1544-6123
dc.identifier.issn	1544-6131
dc.identifier.uri	http://hdl.handle.net/10453/158494
dc.description.abstract	Treasury yields in the global bond market exhibit a secular decline in the past four decades. We show that this long-run trend of yield curve is associated with two key macroeconomic variables, the trend inflation and the equilibrium real short rate. These variables demonstrate substantial variation over time. Accounting for time variation of these macro trends is crucial for understanding yield dynamics. Changes in both trends can explain high persistence in interest rates. Furthermore, substantial predictive gain is obtained by including both trends in the predictive regression for bond risk premia in international bond markets.
dc.language	English
dc.publisher	ACADEMIC PRESS INC ELSEVIER SCIENCE
dc.relation.ispartof	Finance Research Letters
dc.relation.isbasedon	10.1016/j.frl.2020.101916
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	Global bond risk premia under falling stars
dc.type	Journal Article
utslib.citation.volume	42
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access	*
dc.date.updated	2022-07-01T21:47:42Z
pubs.publication-status	Published
pubs.volume	42

Abstract:

Treasury yields in the global bond market exhibit a secular decline in the past four decades. We show that this long-run trend of yield curve is associated with two key macroeconomic variables, the trend inflation and the equilibrium real short rate. These variables demonstrate substantial variation over time. Accounting for time variation of these macro trends is crucial for understanding yield dynamics. Changes in both trends can explain high persistence in interest rates. Furthermore, substantial predictive gain is obtained by including both trends in the predictive regression for bond risk premia in international bond markets.

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http://hdl.handle.net/10453/158494