Show simple item record

dc.contributor.authorAkgiray, V.
dc.contributor.authorBaronyan, S.
dc.contributor.authorŞener, Emrah
dc.contributor.authorYıldız, Osman
dc.date.accessioned2016-02-23T14:25:54Z
dc.date.available2016-02-23T14:25:54Z
dc.date.issued2015
dc.identifier.issn1558-0938
dc.identifier.urihttp://hdl.handle.net/10679/3894
dc.identifier.urihttp://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1011555
dc.descriptionDue to copyright restrictions, the access to full text of this article is only available via subscription.
dc.description.abstractThis article investigates the source of predictability of emerging market (EM) local currency bond risk premia by using a dynamic factor approach based on a large panel of economic and financial time series. We find strong predictable variation in EM local currency excess bond returns that is associated with macroeconomic activity. We provide evidence that the main predictor variables are the factors based on real economic activity that are highly correlated with measures of industrial and manufacturing production; however, factors based on global financial factors also contain information about the future local currency bond returns. The predictive power of the extracted factors is both statistically significant and economically important. Our research has important implications for policymakers and pension fund managers.
dc.language.isoengen_US
dc.publisherTaylor & Francis
dc.relation.ispartofEmerging Markets Finance and Trade
dc.rightsrestrictedAccess
dc.titlePredictability of emerging market local currency bond risk premiaen_US
dc.typeArticleen_US
dc.publicationstatuspublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID(ORCID & YÖK ID 201658) Şener, Emrah
dc.contributor.ozuauthorŞener, Emrah
dc.identifier.startpage1
dc.identifier.endpage20
dc.identifier.wosWOS:000380065300009
dc.identifier.doi10.1080/1540496X.2015.1011555
dc.subject.keywordsEmerging markets
dc.subject.keywordsBond prices
dc.subject.keywordsBond risk premia
dc.subject.keywordsPredictability
dc.identifier.scopusSCOPUS:2-s2.0-84983077423
dc.contributor.ozugradstudentYıldız, Osman
dc.contributor.authorMale2


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record


Share this page