-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … United States. Our empirical results suggest that the current environment of very low nominal sovereign bond yields, is a …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

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 …

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 …

magnitude. These effects are illustrated for three episodes: the period following the Russian default in 1998, the bond … premium ; bond risk premiums ; international spillover effects …

magnitude. These effects are illustrated for three episodes: The period following the Russian default in 1998, the bond …

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

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 …