Abstract This paper provides cross-country analysis of local bond market term premia in emerging countries. In order to investigate the role of domestic and global factors in the determination of compensation demanded by investors for their medium and long term fixed income investments, term premia is computed for emerging countries by using methodology adopted in Adrian et al. (2013) . It is found that changes in market liquidity conditions is important for the variation in term premia. Moreover, movements in domestic and global factors are closely linked to term premia. In this regard, uncertainty related economic surprise indicator and exchange rate related expectations subsume some part of the expected excess returns in both medium and long term. Among other explanatory variables, inflation uncertainty is the only variable found to be insignificant in medium term, albeit it has an explaining power in the long term.

中文翻译：

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新兴市场主权收益率的期限溢价：共同因素和国家特定因素的作用

摘要 本文提供了新兴国家本地债券市场期限溢价的跨国分析。为了研究国内和全球因素在确定投资者对其中长期固定收益投资要求的补偿中的作用，使用 Adrian 等人采用的方法计算新兴国家的期限溢价。(2013)。发现市场流动性条件的变化对于期限溢价的变化很重要。此外，国内和全球因素的变动与期限溢价密切相关。就此而言，与不确定性相关的经济意外指标和与汇率相关的预期包含了部分中长期预期超额回报。在其他解释变量中，