国际资本流动与债券风险溢价

IF 0.9 Q3 BUSINESS, FINANCE
Jesús Sierra
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引用次数: 25

摘要

我们调查外国购买长期美国国债是否显著影响其预期超额收益。我们对外国官方和私人代理人净购买美国国债的措施进行了已实现超额回报的预测回归。我们发现,具有负面影响的官方流动与相对供给冲击相似;具有积极影响的私人流动类似于吸收过剩供应并因此获得补偿的流动,类似于套利者的角色。结果对样本外测试和使用基准调查一致的调整流量数据具有鲁棒性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
International Capital Flows and Bond Risk Premia
We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that official flows, with a negative effect, appear similar to relative supply shocks; private flows, with a positive impact, resemble flows that absorb excess-supply and are thus compensated for this service, similar to the role of arbitrageurs. The results are robust to out-of-sample tests and the use of benchmark survey-consistent adjusted flows data.
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
发文量
0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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