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

Adaptive Filtering for Stochastic Risk Premia in Bond Market

We consider the adaptive filtering problem for estimating the randomly changing risk premium and its system parameters for zero-coupon bond models. The term structure model for a zero-coupon bond is formulated including the stochastic riskpremium factor. We specify our observation data from the yield curve and bond data which are used to hedge some option claims. For the fixed system parameters...

Bond Market Efficiency: Some Evidence

Corporate Bond Risk Premia

This paper investigates the risk premia of U.S. corporate and Treasury bonds. Using excess return regressions, two risk factors are derived from yield and macroeconomic data: a priced term risk factor and a priced credit risk factor explain half of the variation in one-year corporate and Treasury excess returns. The information of the term risk factor is not represented by major yield character...

Bond Variance Risk Premia

Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains one third of the time variation in funding liquidity and that the spread between the VIX and TIV captures flight to quality. We then construct Treasury bond variance risk premia as the difference between the implied variance and an expected varia...

Robust Bond Risk Premia

Recent studies appear to have found evidence that information not reflected in the yield curve helps predict interest rates and excess bond returns. These studies reject the Markov property of the yield curve and conclude that there is unspanned or hidden information that should be used in forecasting. We revisit the evidence of these papers using novel econometric techniques that address the d...