Conditional Risk Premia in International Government Bond Markets

20 Pages Posted: 26 Jun 2015

See all articles by Joëlle Miffre

Joëlle Miffre

Audencia Nantes School of Management; Audencia Business School

Date Written: June 25, 2015


The paper estimates conditional pricing models for 11 international government bonds and shows that, while local instruments capture the change in the bonds’ risks, global instruments model the variation in the factor risk premia. Altogether the changes in the factor risk premium capture 78.25% of the bonds’ predictability, while the dynamics in the betas account for less than 1%. One cannot conclude however that the conditional models are well-specified as parameter instability and relatively large mean squared errors were uncovered. These results extend for the first time some of the evidence from the equity market of Ferson and Harvey (1993), Harvey (1995) and Ghysels (1998) to the bond market.

Keywords: international government bonds; conditional asset pricing models; variance ratio; mean squared errors; parameter stability

JEL Classification: G12, G15

Suggested Citation

Miffre, Joelle, Conditional Risk Premia in International Government Bond Markets (June 25, 2015). Multinational Finance Journal, Vol. 12, No. 3/4, p. 185-204, 2008. Available at SSRN:

Joelle Miffre (Contact Author)

Audencia Nantes School of Management ( email )

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Nantes Cedex 3, Cedex 3 44312

Audencia Business School ( email )

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BP 31222
Nantes Cedex 3, 44312

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