|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|93256||2018||11 صفحه PDF||سفارش دهید||8411 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Money and Finance, Volume 83, May 2018, Pages 44-54
This paper empirically shows that US monetary policy influences present and future exposures of developed marketsâ government bond returns to measures of global, systematic risk and thus affects the time variation of these returns. This finding highlights spillovers from US monetary policy to US dollar denominated foreign assets and to foreign assets denominated in other currencies than the US dollar. From an asset pricing perspective, the evidence reveals that exchange rate risk and time variation in sensitivities to global bond market and exchange rate risk are important to describe time variation in developed marketsâ government bond returns.