Not just the news: Higher moments of macroeconomic variables and sovereign bond returns

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal Pub Date : 2025-04-23 DOI:10.1016/j.gfj.2025.101113

Yulin Li , John K. Wald , Zijun Wang

引用次数: 0

Abstract

Using sovereign debt data from 47 countries, we document that the third moment (skewness) of unemployment changes has a positive and significant relation with sovereign bond returns. Thus, while investors require risk premia for exposure to macroeconomic shocks (Campbell, 1996), we find that the skewness of unemployment changes contains information that helps to explain sovereign bond returns beyond the current shocks to the unemployment rate. This relation holds for both dollar and local currency sovereign debt returns, and after controlling for the information content of news events. The relation is greater in economic expansions than in contractions.

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不仅仅是新闻：宏观经济变量和主权债券回报率的上升

利用来自47个国家的主权债务数据，我们证明了失业率变化的第三时刻（偏度）与主权债券回报呈正相关。因此，尽管投资者需要风险溢价来应对宏观经济冲击（Campbell, 1996），但我们发现，失业率变化的偏度包含的信息有助于解释当前失业率冲击之外的主权债券回报。在控制了新闻事件的信息内容之后，美元和本币主权债务回报都存在这种关系。这种关系在经济扩张时比在经济收缩时更大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Global Finance Journal BUSINESS, FINANCE-

CiteScore

7.30

自引率

13.50%

发文量

106

审稿时长

53 days

期刊介绍： Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.