债券收益可预测性与宏观经济：国际联系
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资源简介
Bond Return Predictability and Macroeconomy: The International Link
Guofu Zhou
Washington University in St. Louis - Olin School of Business
Xiaoneng Zhu
Shanghai University of Finance and Economics
November 2015
Abstract:
This paper provides out-of-sample empirical evidence on the international link of macroeconomic risks for government bonds. Motivated by a simple production-based model, we find that the global leading economic indicator (GLEI), as an aggregate measure of world macro risks, predicts strongly bond risk premia across countries, with out-of-sample R²s up to 24%. In contrast, local leading economic indicators and Ludvigson and Ng (2009) principle components of local macro factors generate mixed results. The forecasting power of the GLEI is above and beyond Cochrane-Piazzesi (2005) forward-rate predictor in each country. The risk premia predicted by the GLEI are countercyclical and are consistent with rational asset pricing models. Moreover, we find that the GLEI also contains additional information for predicting international stock returns and carry trade profitability.
Number of Pages in PDF File: 59
Keywords: Bond risk premia, economic value, global common factor, leading economic indicator, return predictability
JEL Classification: G1, E4, F3
