The endeavor to understand bond returns and the term structure of interest rates has
generated an extensive literature, ranging from papers on return predictability and affine …

We identify local and global factors across international bond markets that are poorly
spanned by the cross-section of yields but have strong forecasting power for future bond …

We find evidence for time-varying risk premia across international bond markets. Local and
global factors jointly predict returns. The global factor is closely linked to US bond risk …

Abstract We extend Cochrane and Piazzesi (2005, CP) to international bond markets by
constructing forecasting factors for bond excess returns across different countries. While the …

International Bond Risk Premia | CiNii Research CiNii 国立情報学研究所 学術情報ナビゲータ[サイニィ
] 詳細へ移動 検索フォームへ移動 論文・データをさがす 大学図書館の本をさがす 日本の博士論文を …

Abstract We extend Cochrane and Piazzesi (2005, CP) to international bond markets by
constructing forecasting factors for bond excess returns across different countries. While the …

We identify local and global factors across international bond markets that are poorly
spanned by the traditional level, slope and curvature factors but have strong forecasting …

We find evidence for time-varying risk premia across international bond markets. Local and
global factors jointly predict returns. The global factor is closely linked to US bond risk …

Abstract We extend Cochrane and Piazzesi (2005, CP) to international bond markets by
constructing forecasting factors for bond excess returns across different countries. While the …