IDEAS home Printed from https://ideas.repec.org/a/eee/glofin/v66y2025ics1044028325000407.html
   My bibliography  Save this article

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

Author

Listed:
  • Li, Yulin
  • Wald, John K.
  • Wang, Zijun

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.

Suggested Citation

  • Li, Yulin & Wald, John K. & Wang, Zijun, 2025. "Not just the news: Higher moments of macroeconomic variables and sovereign bond returns," Global Finance Journal, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:glofin:v:66:y:2025:i:c:s1044028325000407
    DOI: 10.1016/j.gfj.2025.101113
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1044028325000407
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.gfj.2025.101113?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Sovereign bond returns; Unemployment growth; Skewness;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:66:y:2025:i:c:s1044028325000407. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.