注册 投稿
经济金融网 中国经济学教育科研网 中国经济学年会 EFN通讯社

债券收益可预测性与宏观经济:国际联系

文件大小:未知

级别评定:★★★★★

添加时间:2016-01-08 15:27:09

最后更新:2016-01-12 09:05:01

下载积分:0分 (只有会员文件下载时才需要相应积分验证)

总浏览:

总下载:8

发布人:george15135

  • 如果您发现该资源不能下载,请在本站论坛提出,管理员会及时处理。
  • 未经本站明确许可,任何网站不得非法盗链及抄袭本站资源。
  • 本站资源均为网友提供交流,仅供教学、研究使用,请下载后24小时内自行删除。
    0
资源简介

Bond Return Predictability and Macroeconomy: The International Link


Guofu Zhou 


Washington University in St. Louis - Olin School of Business

Xiaoneng Zhu 


Shanghai University of Finance and Economics

November 2015
 


Abstract:      

This paper provides out-of-sample empirical evidence on the international link of macroeconomic risks for government bonds. Motivated by a simple production-based model, we find that the global leading economic indicator (GLEI), as an aggregate measure of world macro risks, predicts strongly bond risk premia across countries, with out-of-sample R²s up to 24%. In contrast, local leading economic indicators and Ludvigson and Ng (2009) principle components of local macro factors generate mixed results. The forecasting power of the GLEI is above and beyond Cochrane-Piazzesi (2005) forward-rate predictor in each country. The risk premia predicted by the GLEI are countercyclical and are consistent with rational asset pricing models. Moreover, we find that the GLEI also contains additional information for predicting international stock returns and carry trade profitability.

 

Number of Pages in PDF File: 59

Keywords: Bond risk premia, economic value, global common factor, leading economic indicator, return predictability

JEL Classification: G1, E4, F3

资源评论

快速入口
回到顶部
深圳网站建设