Time-Varying Expected Returns in International Bond Markets

Posted: 3 May 2000

Abstract

This paper examines the predictable variation in long- maturity government bond returns in six countries. A small set of global instruments can forecast 4-12% of monthly variation in excess bond returns. The predictable variation is statistically and economically significant. Moreover, expected excess returns are highly correlated across countries. A model with one global risk factor and constant conditional betas can explain international bond return predictability if the risk factor is proxied by the world excess bond return, but not if it is proxied by the world excess stock return.

JEL Classification: F3

Suggested Citation

Ilmanen, Antti S., Time-Varying Expected Returns in International Bond Markets. Available at SSRN: https://ssrn.com/abstract=6116

Antti S. Ilmanen (Contact Author)

AQR Capital Management ( email )

United Kingdom
+447887475184 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
3,863
PlumX Metrics