time-varying vector autoregressive model to describe the dynamics of asset returns. We estimate this model by means of the …. (1978), which enforces the stability of the estimated VAR. Our modelling framework allows to disentangle the time …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging … inflation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation …

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly … factors. Finally, correlations between international bond risk premia have increased over time, suggesting an increase in … predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in …

The endeavor to understand bond returns and the term structure of interest rates has generated an extensive literature … perspective. This chapter reviews the relevant literature while also providing empirical evidence on international bond risk …

In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate …

We document the existence of a global monetary policy factor in sovereign bond yields, related to the size of the … of expanding fiscal deficits on global bond yields, driving them to even lower levels. Our findings have important policy … increases in sovereign bond yields globally, widening spreads and currency depreciations of vulnerable sovereigns with severe …

This paper revisits the study of time-varying excess bond returns in international bond markets. Using newly available … the predictability of excess bond returns …

relevant risk to bond holdings, monetary union has a distinct advantage over floating and fixed exchange rates because of its …

This paper examines time-varying measures of term premiums across ten developed economies. It shows that a single … factor accounts for most of the variation in expected excess returns over time, across the maturity spectrum, and across … magnitude. These effects are illustrated for three episodes: The period following the Russian default in 1998, the bond …