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

See all articles by Magnus Dahlquist

Magnus Dahlquist

Stockholm School of Economics; Swedish House of Finance

Henrik Hasseltoft

affiliation not provided to SSRN

Date Written: August 12, 2015

Abstract

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

Dahlquist, Magnus and Hasseltoft, Henrik, International Bond Risk Premia (August 12, 2015). Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc, Available at SSRN: https://ssrn.com/abstract=2624997

Magnus Dahlquist

Stockholm School of Economics ( email )

Drottninggatan 98
Stockholm, SE-111 60
Sweden

Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm
Sweden

Henrik Hasseltoft (Contact Author)

affiliation not provided to SSRN

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