We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to higher-frequency macroeconomic shocks. Our model predicts that the first source, labeled long-run macro risk, is the primary driver of the level and the cross-sectional variation in sovereign bond premia. We find support for this prediction using sovereign bond return data for 43 countries over the 1994–2018 period. A long-short portfolio based on long-run macro risk earns 8.11% per year in our sample.

我们研究不断变化的全球宏观经济状况如何影响主权债券价格。债券持有人通过两种系统性风险来源赚取溢价：暴露于经济状况的低频变化，如预期的宏观经济增长和波动所反映，以及暴露于高频宏观经济冲击。我们的模型预测，标记为长期宏观风险的第一个来源是主权债券溢价水平和横截面变化的主要驱动因素。我们使用 1994-2018 年期间 43 个国家的主权债券回报数据来支持这一预测。在我们的样本中，基于长期宏观风险的多空投资组合每年可赚取 8.11%。