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• W2110603534 abstract "We use a no-arbitrage essentially affine three-factor model to estimate term premia in US and German ten-year government bond yields. In line with the existing literature, we find that estimated premia have followed a downward trend since the 1980s: from 4.9 per cent in 1981 to 0.7 per cent in 2006 for the US bond and from 3.3 to 0.5 per cent for the German one. Subsequently, using an Error Correction Model (ECM) we prove that the decline is explained by a decrease in global output variability and an increase in the power of ten-year government bonds to diversify the investors' portfolios. In addition, the ECM also forecasts both the US and the German term premia converging to around one percentage point over a five year horizon. Long-term return expectations for ten-year government bonds will have to incorporate bond risk premia that - while in line with average excess returns during the twentieth century - are significantly lower than average excess returns over the last two decades." @default.
• W2110603534 created "2016-06-24" @default.
• W2110603534 creator A5044174999 @default.
• W2110603534 creator A5038073224 @default.
• W2110603534 date "2008-01-01" @default.
• W2110603534 modified "2023-10-05" @default.
• W2110603534 title "A Beta Based Framework for (Lower) Bond Risk Premia" @default.
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• W2110603534 doi "https://doi.org/10.2139/ssrn.1290544" @default.
• W2110603534 hasPublicationYear "2008" @default.
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