Bond Risk Premia in Emerging Markets
Author | : Leonardo Iania |
Publisher | : |
Total Pages | : 17 |
Release | : 2020 |
ISBN-10 | : OCLC:1300229590 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Book Synopsis Bond Risk Premia in Emerging Markets by : Leonardo Iania
Download or read book Bond Risk Premia in Emerging Markets written by Leonardo Iania and published by . This book was released on 2020 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: We employ an affine term structure model with no-arbitrage restrictions to analyze the global and domestic determinants of bond risk premia in major emerging markets. Our model captures (long-term) movements of realized risk premia and indicates that global economic and financial factors play a relevant role in explaining country-specific bond risk premia. We also provide evidence of heterogeneous responses of country-specific risk premia to global shocks.