Exploring the performance of US international bond mutual funds
使用贝叶斯体制转换方法，研究了1999年1月至2022年5月期间，在全球金融危机前后，将美国国际债券基金加入国内债券组合的表现提升效果。
Abstract We use a Bayesian regime switching approach to examine the performance enhancement of adding US international bond funds to a domestic bond universe pre and post the Global Financial Crisis (GFC) during January 1999 and May 2022. We find that the international bond funds provide large significant performance enhancement pre the GFC, with an increase in Certainty Equivalent Return (CER) performance of 0.595% (monthly), but none post the GFC. The performance enhancement pre GFC is driven by Large Emerging Market bond funds, which is likely fueled by a substantial drop in the Emerging Market central bank policy rates pre GFC.