Predictability of emerging market local currency bond risk premia

Name: Predictability of emerging market local currency bond risk premia
Author: Akgiray, V., Baronyan, S., Şener, Emrah, Yıldız, Osman

İsim	Predictability of emerging market local currency bond risk premia
Yazar	Akgiray, V., Baronyan, S., Şener, Emrah, Yıldız, Osman
Basım Tarihi:	2015
Basım Yeri	- Taylor & Francis
Konu	Emerging markets, Bond prices, Bond risk premia, Predictability
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1558-0938
Kayıt Numarası	251560c2-3b2c-43d1-a1f9-bdc396ce9465
Lokasyon	Business Administration
Tarih	2015
Notlar	Due to copyright restrictions, the access to full text of this article is only available via subscription.
Örnek Metin	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

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Predictability of emerging market local currency bond risk premia

Yazar Akgiray, V., Baronyan, S., Şener, Emrah, Yıldız, Osman

Basım Tarihi 2015

Basım Yeri - Taylor & Francis

Konu Emerging markets, Bond prices, Bond risk premia, Predictability

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1558-0938

Kayıt Numarası 251560c2-3b2c-43d1-a1f9-bdc396ce9465

Lokasyon Business Administration

Tarih 2015

Notlar Due to copyright restrictions, the access to full text of this article is only available via subscription.

Örnek Metin 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