The role of time-varying rare disaster risks in predicting bond returns and volatility

This paper aims to provide empirical evidence to the theoretical claim that rare disaster risks affect government bond market movements. Using a nonparametric quantiles-based methodology, we show that rare disaster-risks affect only volatility, but not returns, of 10-year government bond of the Unit...

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Main Authors:	Rangan Gupta, Tahir Suleman, Mark Wohar
Format:	Default Article
Published:	2018
Subjects:	Other commerce, management, tourism and services not elsewhere classified Bond returns and volatility Nonparametric quantile causality Rare disasters Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/37194
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id	rr-article-9497369
record_format	Figshare
spelling	rr-article-94973692018-11-23T00:00:00Z The role of time-varying rare disaster risks in predicting bond returns and volatility Rangan Gupta (353380) Tahir Suleman (7197476) Mark Wohar (1248486) Other commerce, management, tourism and services not elsewhere classified Bond returns and volatility Nonparametric quantile causality Rare disasters Business and Management not elsewhere classified This paper aims to provide empirical evidence to the theoretical claim that rare disaster risks affect government bond market movements. Using a nonparametric quantiles-based methodology, we show that rare disaster-risks affect only volatility, but not returns, of 10-year government bond of the United States over the monthly period of 1918:01 to 2013:12. In addition, the predictability of volatility holds for the majority of the conditional distribution of the volatility, with the exception of the extreme ends. Moreover, in general, similar results are also obtained for long-term government bonds of an alternative developed country (UK) and an emerging market (South Africa). 2018-11-23T00:00:00Z Text Journal contribution 2134/37194 https://figshare.com/articles/journal_contribution/The_role_of_time-varying_rare_disaster_risks_in_predicting_bond_returns_and_volatility/9497369 CC BY-NC-ND 4.0
institution	Loughborough University
collection	Figshare
topic	Other commerce, management, tourism and services not elsewhere classified Bond returns and volatility Nonparametric quantile causality Rare disasters Business and Management not elsewhere classified
spellingShingle	Other commerce, management, tourism and services not elsewhere classified Bond returns and volatility Nonparametric quantile causality Rare disasters Business and Management not elsewhere classified Rangan Gupta Tahir Suleman Mark Wohar The role of time-varying rare disaster risks in predicting bond returns and volatility
description	This paper aims to provide empirical evidence to the theoretical claim that rare disaster risks affect government bond market movements. Using a nonparametric quantiles-based methodology, we show that rare disaster-risks affect only volatility, but not returns, of 10-year government bond of the United States over the monthly period of 1918:01 to 2013:12. In addition, the predictability of volatility holds for the majority of the conditional distribution of the volatility, with the exception of the extreme ends. Moreover, in general, similar results are also obtained for long-term government bonds of an alternative developed country (UK) and an emerging market (South Africa).
format	Default Article
author	Rangan Gupta Tahir Suleman Mark Wohar
author_facet	Rangan Gupta Tahir Suleman Mark Wohar
author_sort	Rangan Gupta (353380)
title	The role of time-varying rare disaster risks in predicting bond returns and volatility
title_short	The role of time-varying rare disaster risks in predicting bond returns and volatility
title_full	The role of time-varying rare disaster risks in predicting bond returns and volatility
title_fullStr	The role of time-varying rare disaster risks in predicting bond returns and volatility
title_full_unstemmed	The role of time-varying rare disaster risks in predicting bond returns and volatility
title_sort	role of time-varying rare disaster risks in predicting bond returns and volatility
publishDate	2018
url	https://hdl.handle.net/2134/37194
_version_	1797822715564916736

The role of time-varying rare disaster risks in predicting bond returns and volatility

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