This paper focuses on emerging market government bonds issued in local currency with different maturities. Foreign investors face interest rate, currency, and credit risks. We consider the entire term structure of carry trade returns and find that, while the default premium does not contribute to carry trade strategies, the contribution of interest rate risk, captured by the term premium, is large and increases with maturity. We introduce default risk in an otherwise standard affine model; we show that the volatility of the permanent component of the SDFs must be different across emerging markets in order to match these stylized facts. (JEL F31, F34, G15) Received September 9, 2019; editorial decision March 25, 2021 by Editor: Nikolai Roussanov. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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长期主权债务的全球风险

本文重点关注以本币发行的不同期限的新兴市场政府债券。外国投资者面临利率、货币和信用风险。我们考虑套利交易回报的整个期限结构，发现虽然违约溢价对套利交易策略没有贡献，但期限溢价所捕获的利率风险的贡献很大，并且随着到期日的增加而增加。我们在其他标准仿射模型中引入违约风险；我们表明，为了匹配这些程式化的事实，SDF 永久成分的波动性在新兴市场中必须有所不同。（JEL F31、F34、G15）2019年9月9日收到；编辑决定 2021 年 3 月 25 日，编辑：Nikolai Roussanov。作者提供了互联网附录，