We employ an affine term structure model with no-arbitrage restrictions to analyze the global and domestic determinants of bond risk premia in major emerging markets. Our model captures (long-term) movements of realized risk premia and indicates that global economic and financial factors play a...

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...