Air temperature and sovereign bond returns
研究了31个国家40年的债券数据，发现日气温上升10华氏度会使主权债券回报增加0.22到0.85个基点，支持宏观经济和行为学解释，但不支持能源需求理论。
Abstract The relationship between air temperature and sovereign bond returns is founded on competing paradigms: macroeconomic, behavioral and energy demand‐based. Which of these theoretical mechanisms receives support from data? To answer this, we examined four decades of bond data from 31 countries. Overall, daily temperature positively affects government bond returns. A 10°F rise leads to an increase in sovereign bond returns between 0.22 and 0.85 basis points. We also document evidence of asymmetric and nonlinear price responses to both temperature levels and shocks. Our results survive a battery of robustness checks and lend support to the macroeconomic and behavioral paradigms, albeit not the energy demand‐based view.