This paper focuses on emerging markets government bonds issued in local currency with different maturities. Foreign investors face interest rate, currency, and credit risks. We consider the entire term structure of carry trade returns and find that, while the default premium does not contribute...

This study investigates the apparent lack of insurance against country-specific risk observed internationally. Using a sample of 21 emerging and 21 advanced economies over the period 1980-2014, I document new evidence from international co-movements of prices and quantities suggesting that risk...