International Bond Risk Premia
Tài liệu tham khảo
Ang, 2006, What does the yield curve tell us about GDP growth?, Journal of Econometrics, 131, 359, 10.1016/j.jeconom.2005.01.032
Backus, 2001, Affine term structure models and the forward premium anomaly, Journal of Finance, 56, 279, 10.1111/0022-1082.00325
Baele, 2004, Measuring financial integration in the Euro area
Bansal, 2010, A long-run risks explanation of predictability puzzles in bond and currency markets
Bansal, 2004, Risks for the long run: a potential resolution of asset pricing puzzles, Journal of Finance, 59, 1481, 10.1111/j.1540-6261.2004.00670.x
Barr, 2004, Expected returns, risk and the integration of international bond markets, Journal of International Money and Finance, 23, 71, 10.1016/j.jimonfin.2003.10.005
Bekaert, 2001, Expectations hypotheses tests, Journal of Finance, 56, 1357, 10.1111/0022-1082.00371
Bekaert, 2009, Globalization and asset prices
Bekaert, 2011, The European union, the euro, and equity market integration
Bikbov, 2010, No-arbitrage macroeconomic determinants of the yield curve, Journal of Econometrics, 159, 166, 10.1016/j.jeconom.2010.05.004
Brandt, 2003, Time-varying risk aversion and unexpected inflation, Journal of Monetary Economics, 50, 1457, 10.1016/j.jmoneco.2003.08.001
Buraschi, 2007, Habit formation and macroeconomic models of the term structure of interest rates, Journal of Finance, 62, 3009, 10.1111/j.1540-6261.2007.01299.x
Campbell, 1999, By force of habit: a consumption-based explanation of aggregate stock market behavior, Journal of Political Economy, 107, 205, 10.1086/250059
Campbell, 1992, Predictable stock returns in the United States and Japan: a study of long-term capital market integration, Journal of Finance, 47, 43, 10.1111/j.1540-6261.1992.tb03978.x
Cieslak, 2011, Understanding bond risk premia
Cochrane, 2005, Bond risk premia, American Economic Review, 95, 138, 10.1257/0002828053828581
Cochrane, 2008, Decomposing the yield curve
Cooper, 2009, Time-varying risk premiums and the output gap, Review of Financial Studies, 22, 2801, 10.1093/rfs/hhn087
Dahlquist, Magnus, 1995. Conditional forward term premia: some international evidence, Chapter 3 in PhD dissertation, Institute for International Economic Studies, Stockholm University.
Dai, 2000, Specification analysis of affine term structure models, Journal of Finance, 50, 1943, 10.1111/0022-1082.00278
Dai, 2002, Expectation puzzles, time-varying risk premia, and affine models of the term structure, Journal of Financial Economics, 63, 415, 10.1016/S0304-405X(02)00067-3
Dai, 2004, Predictability of bond risk premia and affine term structure models
Diebold, 2008, Global yield curve dynamics and interactions: a dynamic Nelson–Siegel approach, Journal of Econometrics, 146, 351, 10.1016/j.jeconom.2008.08.017
Driessen, 2003, Common factors in international bond returns, Journal of International Money and Finance, 22, 629, 10.1016/S0261-5606(03)00046-9
Duffee, 2002, Term premia and interest rate forecasts in affine models, Journal of Finance, 57, 405, 10.1111/1540-6261.00426
Duffee, 2010, Sharpe ratios in term structure models
Duffee, 2011, Information in (and not in) the term structure, Review of Financial Studies, 24, 2895, 10.1093/rfs/hhr033
Ehrmann, 2005, Equal size, equal role? Interest rate interdependence between the Euro area and the United States, The Economic Journal, 115, 928, 10.1111/j.1468-0297.2005.01025.x
Ehrmann, 2011, Stocks, bonds, money markets and exchange rates: measuring international financial transmission, Journal of Applied Econometrics, 26, 948, 10.1002/jae.1173
Fama, 1987, The information in long-maturity forward rates, American Economic Review, 77, 680
Fama, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics, 25, 23, 10.1016/0304-405X(89)90095-0
Ferson, 1993, The risk and predictability of international equity returns, Review of Financial Studies, 6, 527, 10.1093/rfs/6.3.527
Fontaine, 2012, Bond liquidity premia, Review of Financial Studies, 25, 1207, 10.1093/rfs/hhr132
Gurkaynak, 2007, The U.S. treasury yield curve: 1961 to the present, Journal of Monetary Economics, 54, 2291, 10.1016/j.jmoneco.2007.06.029
Hamilton, 2002, A re-examination of the predictability of the yield spread for real economic activity, Journal of Money, Credit, and Banking, 34, 340, 10.1353/mcb.2002.0040
Hardouvelis, 1994, The term structure spread and future changes in long and short rates in the G7 countries, Journal of Monetary Economics, 33, 255, 10.1016/0304-3932(94)90003-5
Harvey, 1991, The world price of covariance risk, Journal of Finance, 46, 111, 10.1111/j.1540-6261.1991.tb03747.x
Hasseltoft, 2012, Stocks, bonds, and long-run consumption risks, Journal of Financial and Quantitative Analysis, 47, 309, 10.1017/S0022109012000075
Ilmanen, 1995, Time-varying expected returns in international bond markets, Journal of Finance, 50, 481, 10.1111/j.1540-6261.1995.tb04792.x
Joslin, 2010, Risk premiums in dynamic term structure models with unspanned macro risks
Jotikasthira, 2012, Why do term structures in different currencies comove?
Kessler, 2009, Varying risk premia in international markets, Journal of Banking and Finance, 33, 1361, 10.1016/j.jbankfin.2009.02.007
Koijen, 2012, The cross-section and time series of stock and bond returns
Kose, 2003, International business cycles: world, region, and country-specific factors, American Economic Review, 93, 1216, 10.1257/000282803769206278
Litterman, 1991, Common factors affecting bond returns, Journal of Fixed Income, 1, 54, 10.3905/jfi.1991.692347
Ludvigson, 2009, Macro factors in bond risk premia, Review of Financial Studies, 22, 5027, 10.1093/rfs/hhp081
Lustig, 2011, Common risk factors in currency markets, Review of Financial Studies, 24, 3731, 10.1093/rfs/hhr068
Mueller, 2011, Short-run bond risk premia
Nelson, 1987, Parsimonious modeling of yield curves, Journal of Business, 60, 473, 10.1086/296409
Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610
Perignon, 2007, Why common factors in international bond returns are not so common, Journal of International Money and Finance, 26, 284, 10.1016/j.jimonfin.2006.11.006
Politis, 1994, The stationary bootstrap, Journal of the American Statistical Association, 89, 1303, 10.1080/01621459.1994.10476870
Politis, 2004, Automatic block-length selection for the dependent bootstrap, Econometric Reviews, 23, 53, 10.1081/ETC-120028836
Politis, 2009, Correction to “Automatic block-length selection for the dependent bootstrap" by D. Politis and H. White, Econometric Reviews, 28, 372, 10.1080/07474930802459016
Pukthuanthong, 2009, Global market integration: an alternative measure and its application, Journal of Financial Economics, 94, 214, 10.1016/j.jfineco.2008.12.004
Rudebusch, 2007, Macroeconomic implications of changes in the term premium, Federal Reserve Bank of St. Louis Review, 89
Wachter, 2006, A consumption-based model of the term structure of interest rates, Journal of Financial Economics, 79, 365, 10.1016/j.jfineco.2005.02.004
Wright, 2006, The yield curve and predicting recessions
Wright, 2011, Term premia and inflation uncertainty: empirical evidence from an international panel dataset, American Economic Review, 101, 1514, 10.1257/aer.101.4.1514