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

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

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the … Joslin et al. (2014). This is done for a total of 15 countries. Bond risk premia of net oil-exporting countries show a … one would expect. Among the unspanned factors, global economic activity explains most of the variability in bond risk …

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the … Joslin et al. (2014). This is done for a total of 15 countries. Bond risk premia of net oil-exporting countries show a … one would expect. Among the unspanned factors, global economic activity explains most of the variability in bond …

emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth …

approach is based on a novel sovereign credit risk model accounting for the joint dynamics of debt, the fiscal limit, and bond …