Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia

17 Pages Posted: 1 Jan 2020 Last revised: 10 Jun 2020

See all articles by Leonardo Iania

Leonardo Iania

Université catholique de Louvain; KU Leuven, Department Accounting, Finance and Insurance

Marco Lyrio

Insper Institute of Education and Research

Rubens Moura

Bank of Mexico; Université catholique de Louvain

Date Written: December 12, 2019

Abstract

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.

Keywords: Term structure, Emerging markets, Risk premia

Suggested Citation

Iania, Leonardo and Lyrio, Marco and Moura, Rubens, Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia (December 12, 2019). Available at SSRN: https://ssrn.com/abstract=3502771 or http://dx.doi.org/10.2139/ssrn.3502771

Leonardo Iania

Université catholique de Louvain ( email )

34, Voie du roman pays
louvain la neuve, 1348
Belgium

HOME PAGE: http://https://sites.google.com/site/ianialeonardo/

KU Leuven, Department Accounting, Finance and Insurance ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

Marco Lyrio

Insper Institute of Education and Research ( email )

R Quata 300
Sao Paulo, 04542-030
Brazil

HOME PAGE: http://www.insper.edu.br/en/faculty-and-research/marco-lyrio

Rubens Moura (Contact Author)

Bank of Mexico ( email )

Av. 5 de Mayo 18
Mexico City
Mexico City, Mexico DF 06059
Mexico

Université catholique de Louvain ( email )

Voie du Roman Pays 34
Louvain-la-Neuve, 1348
Belgium

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