Time‐Varying Expected Returns in International Bond Markets
研究六个国家长期政府债券收益的可预测变化，发现全球工具能预测月度超额收益的4%到12%，且各国预期超额收益高度相关。
ABSTRACT This article examines the predictable variation in long‐maturity government bond returns in six countries. A small set of global instruments can forecast 4 to 12 percent of monthly variation in excess bond returns. The predictable variation is statistically and economically significant. Moreover, expected excess bond returns are highly correlated across countries. A model with one global risk factor and constant conditional betas can explain international bond return predictability if the risk factor is proxied by the world excess bond return, but not if it is proxied by the world excess stock return.