... structure Liquidity risk spillover Sovereign bonds Macroeconomic factors Term premium Emerging markets Short-term bonds Medium-term bonds Long-term bonds E43 G11 G12 G15 The idea of a time-varying risk premium in the term structure has been well-deliberated in the asset pricing...

... common factors. Findings The authors find that global influences are the most important drivers of returns and that industrial sectors are highly integrated with the global economy. The authors show that specifications that comprise only macroeconomic factors and proxies for omitted factors...