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Inventi Impact: Microfinance & Banking

Articles

  • Inventi:mmb/33779/21
    Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market
    Research 2021 : April - June
    Hira Aftab, A B M Rabiul Alam Beg

    The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The estimates of the bivariate risk premia show bi-directional causality exist between the Australia and France Bond markets. Overall results suggest nonexistence of pure rational expectation theory in the risk premium model. This information is useful for the agents’ strategic policy decision making in global bond markets.

    How to Cite this Article
    Attribution/ CC Compliant Citation: Aftab, Hira, and A. B. M. Beg. "Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market." International Journal of Financial Studies 9.1 (2021): 3. https://doi.org/10.3390/ijfs9010003 http://creativecommons.org/licenses/by/4.0/ Some formatting elements, header, footer, logos, dates and pagination were modified while adapting this article.
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