International Bond Risk Premia
Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc
Posted: 1 Jul 2015 Last revised: 13 Aug 2015
Date Written: August 12, 2015
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 term structure models to theoretical contributions in the form of equilibrium models. While most of the empirical literature focuses on US data, a large body of work applies an international perspective. This chapter reviews the relevant literature while also providing empirical evidence on international bond risk premia and the link to the macroeconomy.
Keywords: bond risk premia, interest rates, local and global factors, predictability
JEL Classification: E43, F31, G12, G15
Suggested Citation: Suggested Citation