Multi-level factor analysis of bond risk premia

Dukpa Kim; Yunjung Kim; Yuhyeon Bak

doi:10.1515/snde-2015-0080

Multi-level factor analysis of bond risk premia

Dukpa Kim, Yunjung Kim, Yuhyeon Bak

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Article number	20150080
Journal	Studies in Nonlinear Dynamics and Econometrics
Volume	21
Issue number	5
DOIs	https://doi.org/10.1515/snde-2015-0080
Publication status	Published - 2017 Dec 20

Bibliographical note

Funding Information:
Dukpa Kim acknowledges that this research is supported by a Korea University Grant (K1509001).

Publisher Copyright:
© 2017 Walter de Gruyter GmbH, Berlin/Boston.

Keywords

common factors
excess bond returns
predictive regression

ASJC Scopus subject areas

Analysis
Social Sciences (miscellaneous)
Economics and Econometrics

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10.1515/snde-2015-0080

Cite this

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Multi-level factor analysis of bond risk premia

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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