References
- Ang, A., and M. Piazzesi. 2003. “A No-arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.” Journal of Monetary Economics 50 (4): 745–787. doi:https://doi.org/10.1016/S0304-3932(03)00032-1.
- Bauer, M. D., and G. D. Rudebusch. 2020. “Interest Rates under Falling Stars.” American Economic Review 110 (5): 1316–1354. doi:https://doi.org/10.1257/aer.20171822.
- Bekaert, G., S. Cho, and A. Moreno. 2010. “New-Keynesian Macroeconomics and the Term Structure.” Journal of Money, Credit and Banking 42 (1): 33–62. doi:https://doi.org/10.1111/j.1538-4616.2009.00277.x.
- Borri, N., and A. Verdelhan 2011. “Sovereign Risk Premia.” AFA 2010 Atlanta Meetings Paper.
- Cepni, O., S. Gul, and R. Gupta. 2019. “Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global Factors.” Finance Research Letters. forthcoming 33, 101183.
- Cepni, O., and I. Güney. 2019. “Local Currency Bond Risk Premia: A Panel Evidence on Emerging Markets.” Emerging Markets Review 38: 182–196.
- Cepni, O., R. Gupta, I. E. Güney, and M. Yilmaz. 2020. “Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-country Macrofinancial Linkages.” Journal of Forecasting 39: 966–985. forthcoming. doi:https://doi.org/10.1002/for.2669.
- Ciarlone, A., P. Piselli, and G. Trebeschi. 2009. “Emerging Markets’ Spreads and Global Financial Conditions.” Journal of International Financial Markets, Institutions and Money 19 (2): 222–239. doi:https://doi.org/10.1016/j.intfin.2007.11.003.
- Cochrane, J. H., and M. Piazzesi. 2005. “Bond Risk Premia.” American Economic Review 95 (1): 138–160. doi:https://doi.org/10.1257/0002828053828581.
- Dahlquist, M., and H. Hasseltoft. 2013. “International Bond Risk Premia.” Journal of International Economics 90 (1): 17–32. doi:https://doi.org/10.1016/j.jinteco.2012.11.008.
- Dai, Q., and K. J. Singleton. 2000. “Specification Analysis of Affine Term Structure Models.” The Journal of Finance 55 (5): 1943–1978. doi:https://doi.org/10.1111/0022-1082.00278.
- Dewachter, H., L. Iania, M. Lyrio, and M. de Sola Perea. 2015. “A Macro- Financial Analysis of the Euro Area Sovereign Bond Market.” Journal of Banking and Finance 50: 308–325. doi:https://doi.org/10.1016/j.jbankfin.2014.03.011.
- Dewachter, H., and M. Lyrio. 2006. “Macro Factors and the Term Structure of Interest Rates.” Journal of Money, Credit and Banking 38 (1): 119–140. doi:https://doi.org/10.1353/mcb.2006.0014.
- Driessen, J., B. Melenberg, and T. Nijman. 2003. “Common Factors in Inter- National Bond Returns.” Journal of International Money and Finance 22 (5): 629–656. doi:https://doi.org/10.1016/S0261-5606(03)00046-9.
- Duffie, D., and R. Kan. 1996. “A Yield-factor Model of Interest Rates.” Mathe- Matical Finance 6 (4): 379–406. doi:https://doi.org/10.1111/j.1467-9965.1996.tb00123.x.
- Fernández, A., A. Gonzalés, and D. Rodriguez. 2018. “Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies.” Journal of International Economics 111: 99–121. doi:https://doi.org/10.1016/j.jinteco.2017.11.008.
- Gadanecz, B., K. Miyajima, and C. Shu. 2018. “Emerging Market Local Currency Sovereign Bond Yields: The Role of Exchange Rate Risk.” International Review of Economics & Finance 57: 371–401.
- Gürkaynak, R. S., and J. H. Wright. 2012. “Macroeconomics and the Term Structure.” Journal of Economic Literature 50 (2): 331–367. doi:https://doi.org/10.1257/jel.50.2.331.
- Ilmanen, A. 1995. “Time-varying Expected Returns in International Bond Mar- Kets.” The Journal of Finance 50 (2): 481–506. doi:https://doi.org/10.1111/j.1540-6261.1995.tb04792.x.
- IMF. 2019. “Emerging and Frontier Markets: Mind the Debt.” Global Financial Stability Report, October, IMF.
- Joslin, S., M. Priebsch, and K. J. Singleton. 2014. “Risk Premiums in Dy- Namic Term Structure Models with Unspanned Macro Risks.” The Journal of Finance 69 (3): 1197–1233. doi:https://doi.org/10.1111/jofi.12131.
- Joslin, S., K. J. Singleton, and H. Zhu. 2011. “A New Perspective on Gaussian Dynamic Term Structure Models.” The Review of Financial Studies 24 (3): 926–970. doi:https://doi.org/10.1093/rfs/hhq128.
- Jotikasthira, C., A. Le, and C. Lundblad. 2015. “Why Do Term Structures in Different Currencies Co-move?” Journal of Financial Economics 115 (1): 58–83. doi:https://doi.org/10.1016/j.jfineco.2014.09.004.
- Kessler, S., and B. Scherer. 2009. “Varying Risk Premia in International Bond Markets.” Journal of Banking & Finance 33 (8): 1361–1375. doi:https://doi.org/10.1016/j.jbankfin.2009.02.007.
- Kilian, L. 2009. “Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market.” The American Economic Review 99 (3): 1053–1069. doi:https://doi.org/10.1257/aer.99.3.1053.
- Litterman, R., and J. Scheinkman. 1991. “Common Factors Affecting Bond Re- Turns.” Journal of Fixed Income 1 (1): 54–61. doi:https://doi.org/10.3905/jfi.1991.692347.
- Ludvigson, S. C., and S. Ng. 2009. “Macro Factors in Bond Risk Premia.” Review of Financial Studies 22 (12): 5027–5067. doi:https://doi.org/10.1093/rfs/hhp081.
- Mallick, S., and R. Sousa. 2013. “Commodity Prices, Inflationary Pressures, and Monetary Policy: Evidence from BRICS Economies.” Open Economies Review 24 (4): 677–694. doi:https://doi.org/10.1007/s11079-012-9261-5.
- Piazzesi, M. 2010. “Affine Term Structure Models.” In Handbook of Financial Econometrics: Tools and Techniques, edited by Y. Ait-Sahalia and L. P. Hansen, 691–766. Vols. 1, Chapter 12. North-Holland: Elsevier.
- Rudebusch, G. D., and T. Wu. 2008. “A Macro-finance Model of the Term Structure, Monetary Policy and the Economy.” The Economic Journal 118 (530): 906–926. doi:https://doi.org/10.1111/j.1468-0297.2008.02155.x.
- Sekkel, R. 2011. “International Evidence on Bond Risk Premia.” Journal of Banking & Finance 35 (1): 174–181. doi:https://doi.org/10.1016/j.jbankfin.2010.07.029.
- UNCTAD. 2019. “State of Commodity Dependence.” Technical Report. United Nations Conference on Trade and Development.
- Vicente, J., and B. M. Tabak. 2008. “Forecasting Bond Yields in the Brazilian Fixed Income Market.” International Journal of Forecasting 24 (3): 490–497. doi:https://doi.org/10.1016/j.ijforecast.2008.03.009.
- Wright, J. H. 2011. “Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset.” American Economic Review 101 (4): 1514–1534. doi:https://doi.org/10.1257/aer.101.4.1514.
- Zinna, G. 2013. “Sovereign Default Risk Premia: Evidence from the Default Swap Market.” Journal of Empirical Finance 21: 15–35. doi:https://doi.org/10.1016/j.jempfin.2012.12.006.