Bond Risk Premia in Emerging Markets

Bond Risk Premia in Emerging Markets
Author: Leonardo Iania
Publisher:
Total Pages: 17
Release: 2020
Genre:
ISBN:

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We employ an affine term structure model with no-arbitrage restrictions to analyze the global and domestic determinants of bond risk premia in major emerging markets. Our model captures (long-term) movements of realized risk premia and indicates that global economic and financial factors play a relevant role in explaining country-specific bond risk premia. We also provide evidence of heterogeneous responses of country-specific risk premia to global shocks.


Bond Risk Premia in Emerging Markets
Language: en
Pages: 17
Authors: Leonardo Iania
Categories:
Type: BOOK - Published: 2020 - Publisher:

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We employ an affine term structure model with no-arbitrage restrictions to analyze the global and domestic determinants of bond risk premia in major emerging ma
Local Currency Bond Risk Premia
Language: en
Pages: 28
Authors: Oguzhan Cepni
Categories:
Type: BOOK - Published: 2019 - Publisher:

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This paper investigates the source of variation in emerging market (EM) local currency bond risk premium by employing panel fixed effects regression model. More
Volatility and Jump Risk Premia in Emerging Market Bonds
Language: en
Pages: 32
Authors: John Matovu
Categories: Business & Economics
Type: BOOK - Published: 2007-07 - Publisher: International Monetary Fund

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There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps
Bond Risk Premia and the Exchange Rate
Language: en
Pages:
Authors: Boris Hofmann
Categories:
Type: BOOK - Published: 2019 - Publisher:

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Determinants of Emerging Market Sovereign Bond Spreads
Language: en
Pages: 28
Authors: Iva Petrova
Categories: Business & Economics
Type: BOOK - Published: 2010-12-01 - Publisher: International Monetary Fund

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This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and te