Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia
17 Pages Posted: 1 Jan 2020 Last revised: 10 Jun 2020
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: 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
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