Unspanned Global Macro Risks in Bond Returns-Reference-Cited by-同舟云学术

Unspanned Global Macro Risks in Bond Returns

Published:2021-02-02 Issue: Volume: Page:
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Zhao Feng¹^ORCID,Zhou Guofu²^ORCID,Zhu Xiaoneng³^ORCID

Affiliation:

1. Jindal School of Management, University of Texas at Dallas, Richardson, Texas 75080;

2. Olin School of Business, St. Louis, Missouri 63130;

3. School of Finance, Shanghai University of Finance and Economics and Shanghai Institute of International Finance and Economics, Shanghai 200433, China

Abstract

We examine the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macroeconomic variables that are not subject to revisions, we find that global macro factors have predictive power for bond returns unspanned by yield factors. Furthermore, we estimate macro-finance term structure models with the unspanned global macro factors and find that the global macro factors influence the market prices of level and slope risks and induce comovements in forward term premia in global bond markets. This paper was accepted by David Simchi-Levi, finance.

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

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