Author
Akgiray, V., Baronyan, S., Şener, Emrah, Yıldız, Osman
Publication Date
2015
Publication Place
-
Taylor & Francis
Subject
Emerging markets, Bond prices, Bond risk premia, Predictability
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
1558-0938
Record ID
251560c2-3b2c-43d1-a1f9-bdc396ce9465
Library Location
Business Administration
Date
2015
Notes
Due to copyright restrictions, the access to full text of this article is only available via subscription.
Sample Text
This article investigates the source of predictability of emerging market (EM) local currency bond risk premia by using a dynamic factor approach based on a large panel of economic and financial time series. We find strong predictable variation in EM local currency excess bond returns that is associated with macroeconomic activity. We provide evidence that the main predictor variables are the factors based on real economic activity that are highly correlated with measures of industrial and manufacturing production; however, factors based on global financial factors also contain information about the future local currency bond returns. The predictive power of the extracted factors is both statistically significant and economically important. Our research has important implications for policymakers and pension fund managers.
DOI
10.1080/1540496X.2015.1011555
