Exploring the benefits of international government bond portfolio diversification strategies
使用贝叶斯方法研究国际政府债券的多元化收益，发现无卖空限制会降低但不会消除G7债券的多元化收益，而加入通胀挂钩债券和新兴市场债券能带来显著收益，且收益随经济状态变化。
We use the Bayesian approach of Wang (1998) to examine the diversification benefits of investing in international government bonds. We find that no short-selling constraints substantially reduce but do not eliminate the diversification benefits when only investing in G7 government bonds with different maturities. There are significant diversification benefits when using the G7 bonds, an inflation-linked bond index, and emerging market bonds even in the presence of no short-selling constraints. The superior performance is driven by the emerging markets bonds. We also find that the diversification benefits vary across different economic states.