Purposes - Indonesian government bond (known as SUN) plays an essential role in financing sustainable development in … macroeconomic factors or macro-risk on the yield curve of the SUN bond. Methodology - The type of data used in this study is … secondary data in the form of BI Rate, Inflation, Exchange Rate, Foreign Exchange Reserves, Current Account Deficit, and crude …

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 …

dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May … cannot be dissociated from inflation and money market volatility. Our findings herein provide valuable information and …

price adjustment. The production and price-setting decisions of firms drive low-frequency movements in growth and inflation … rates that are negatively related. With recursive preferences, these growth and inflation dynamics are crucial for … rationalizing key stylized facts in bond markets. When calibrated to macroeconomic data, the model quantitatively explains the means …

, these growth and inflation dynamics are crucial for rationalizing key stylized facts in bond markets. When calibrated to …This paper studies the equilibrium term structure of nominal and real interest rates and time-varying bond risk premia … firms drive low-frequency movements in growth and inflation rates that are negatively related. With recursive preferences …

with higher yield spreads, controlling for output gap and inflation. I build a model in which high government debt …

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

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 …