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dc.contributor.authorTiozzo Pezzoli, Luca
dc.date.accessioned2015-06-16T08:08:43Z
dc.date.available2015-06-16T08:08:43Z
dc.date.issued2014-12
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/15221
dc.language.isoenen
dc.subjectFinancial econometricsen
dc.subjectInterest ratesen
dc.subjectInternational financeen
dc.subject.ddc332en
dc.subject.classificationjelC52en
dc.subject.classificationjelE43en
dc.subject.classificationjelG12en
dc.subject.classificationjelG15en
dc.titleEconomic Relevance of Hidden Factors in International Bond Risk Premiaen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherUniversité Paris I - Panthéon Sorbonne;France
dc.description.abstractenThis paper investigates the relevance of hidden factors in international bond risk premia to forecast future excess bond returns and macroeconomic variables such as economic growth and ination rate. Using maximum likelihood estimation of a linear Gaussian state-space model, adopted to explain the dynamics of expected excess bond returns of a given country, associated selection criteria detect as relevant, factors otherwise judged negligible by the classical explained variance approach adopted by Cochrane and Piazzesi (2005) and Cochrane and Piazzesi (2008). We call these factors hidden, meaning that they are not visible through the lens of a principal component analysis of expected excess bond returns. We find that these hidden factors are useful predictors of both future economic growth and ination rate given that they add forecasting power over and above the information contained both in the Cochrane and Piazzesi (2008) and in yield curve factors. These empirical findings are robust across different sample periods and countries as well as with respect to the interpolation technique used in the construction of the international bond yield data sets.en
dc.identifier.citationpages38en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle12th International Paris Finance Meeting - Paris December 2014 Finance Meetingen
dc.relation.confdate2014-12
dc.relation.confcityParisen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen


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