Risk Premia in Covered Bond Markets

2012 ◽  
Author(s):  
Marcel Prokopczuk ◽  
Volker Vonhoff
Keyword(s):  
Risk Premia ◽  
Bond Markets

Varying risk premia in international bond markets

2009 ◽  
Vol 33 (8) ◽  
pp. 1361-1375 ◽  
Author(s):  
Stephan Kessler ◽  
Bernd Scherer
Keyword(s):  
Risk Premia ◽  
Bond Markets

scholarly journals Stocks, Bonds, and Long-Run Consumption Risks

2012 ◽  
Vol 47 (2) ◽  
pp. 309-332 ◽  
Author(s):  
Henrik Hasseltoft
Keyword(s):  
Risk Premia ◽  
Bond Markets ◽  
Consumption Growth ◽  
Moment Conditions ◽  
Macroeconomic Volatility ◽  
Macroeconomic Risk ◽  
Time Aggregation ◽  
Long Run ◽  
Risk Framework ◽  
Long Run Risk

AbstractI evaluate whether the so-called long-run risk framework can jointly explain key features of both equity and bond markets as well as the interaction between asset prices and the macroeconomy. I find that shocks to expected consumption growth and time-varying macroeconomic volatility can account for the level of risk premia and its variation over time in both markets. The results suggest a common set of macroeconomic risk factors operating in equity and bond markets. I estimate the model using a simulation estimator that accounts for time aggregation of consumption growth and utilizes a rich set of moment conditions.

Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets

2003 ◽  
Author(s):  
Bala Arshanapalli ◽  
Lorne N. Switzer ◽  
Alexandre Vezina
Keyword(s):  
Risk Premia ◽  
Bond Markets ◽  
Time Varying

scholarly journals Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market

2021 ◽  
Vol 9 (1) ◽  
pp. 3
Author(s):  
Hira Aftab ◽  
A. B. M. Rabiul Alam Beg
Keyword(s):  
Risk Premium ◽  
Rational Expectation ◽  
Policy Decision ◽  
Risk Premia ◽  
Bond Market ◽  
Bond Markets ◽  
Time Varying ◽  
Volatility Spillovers ◽  
Strategic Policy ◽  
Expectation Theory

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The estimates of the bivariate risk premia show bi-directional causality exist between the Australia and France Bond markets. Overall results suggest nonexistence of pure rational expectation theory in the risk premium model. This information is useful for the agents’ strategic policy decision making in global bond markets.

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