Unspanned Global Macro Risks in Bond Returns

Feng Zhao; Guofu Zhou; Xiaoneng Zhu

doi:10.1287/mnsc.2020.3852

Unspanned Global Macro Risks in Bond Returns

Feng Zhao
, Guofu Zhou
, Xiaoneng Zhu

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

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.

Original language	English
Pages (from-to)	7825-7843
Number of pages	19
Journal	Management Science
Volume	67
Issue number	12
DOIs	https://doi.org/10.1287/mnsc.2020.3852
State	Published - Dec 2021

Keywords

Bond risk premia
Lobal economic factors
Macro-finance term structure models
Macro-spanning puzzle
Real-time macroeconomic factors

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10.1287/mnsc.2020.3852

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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.",

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AB - 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.

KW - Bond risk premia

KW - Lobal economic factors

KW - Macro-finance term structure models

KW - Macro-spanning puzzle

KW - Real-time macroeconomic factors

UR - https://www.scopus.com/pages/publications/85124669340

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SP - 7825

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JO - Management Science

JF - Management Science

IS - 12

ER -

Unspanned Global Macro Risks in Bond Returns

Abstract

Keywords

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