In this paper, we forecast local currency debt of five major emerging market countries (Brazil, Indonesia, Mexico, South Africa, and Turkey) over the period of January 2010 to January 2019 (with an in-sample: March 2005 to December 2018). We exploit information from a large set of economic and financial time series to assess the importance of not only “own-country” factors (derived from principal component and partial least squares approach), but also create “global” predictors by combining the country-specific variables across the five emerging economies. We find that while information on own-country factors can outperform the historical average model, global factors tend to produce not only greater statistical and economic gains, but also enhances market timing ability of investors, especially when we use the target-variable (bond premium) approach under the partial least squares method to extract our factors. Our results have important implications for not only fund managers, but also policymakers.

中文翻译：

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预测新兴市场的本币债券风险溢价：跨国宏观金融联系的作用

在本文中，我们预测了五个主要新兴市场国家（巴西、印度尼西亚、墨西哥、南非和土耳其）在 2010 年 1 月至 2019 年 1 月期间（样本内：2005 年 3 月至 2018 年 12 月）的本币债务. 我们利用来自大量经济和金融时间序列的信息来评估“本国”因素（源自主成分和偏最小二乘法）的重要性，而且还通过结合国家因素来创建“全球”预测因子——五个新兴经济体的特定变量。我们发现，虽然本国因素的信息可以优于历史平均模型，但全球因素往往不仅会产生更大的统计和经济收益，而且会增强投资者的市场择时能力，特别是当我们在偏最小二乘法下使用目标变量（债券溢价）方法来提取我们的因素时。我们的结果不仅对基金经理，而且对政策制定者都有重要意义。