Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011
jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and … which movements in risk premia are driven by one local andone global factor. Yield loadings for the two factors are … estimated to be close tozero while shocks to risk premia account for a small fraction of yield variance.This suggests that the …