Economics at your fingertips  

Multi-level factor analysis of bond risk premia

Dukpa Kim (), Yunjung Kim () and Bak Yuhyeon
Additional contact information
Bak Yuhyeon: Department of Economics, Korea University, Seongbuk-gu, Seoul, 02841 Korea

Studies in Nonlinear Dynamics & Econometrics, 2017, vol. 21, issue 5, 19

Abstract: Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We employ a multi-level factor model to estimate global and sectoral factors separately and show that (i) the real factors possess most important predictive power existing in the panel; (ii) the financial factors might have some predictive power but less than the real factors; (iii) the inflation factors have almost no predictive power and (iv) the excess bond returns have a countercyclical component.

Keywords: common factors; excess bond returns; predictive regression (search for similar items in EconPapers)
JEL-codes: E0 E4 G10 G12 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... -0080.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

Page updated 2021-03-28
Handle: RePEc:bpj:sndecm:v:21:y:2017:i:5:p:19:n:2