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Financial crises and estimation bias in international bond markets

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  • Juneja, Januj A.

Abstract

This paper analyses the impact of estimation bias on various international bond markets during recent financial crises, using a unique empirical design. We estimate the Kalman filter over the period 2004–2014 using weekly data from the US and its main trading partners and construct measures of model forecasts, term premia, and risk premia in the presence of estimation bias, and in its absence. We find that the impact of estimation bias was the strongest for all sampled countries during the Global Financial Crisis of 2007–2010, and the ongoing eurozone sovereign debt crisis.

Suggested Citation

  • Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
  • Handle: RePEc:eee:riibaf:v:38:y:2016:i:c:p:593-607
    DOI: 10.1016/j.ribaf.2016.07.010
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    Cited by:

    1. Juneja, Januj, 2017. "How Germany benefits the most from its Eurozone membership," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1074-1088.

    More about this item

    Keywords

    Financial crises; Affine term structure model; International bond markets; Estimation bias;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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