【主题】Air Temperature and Sovereign Bond Returns
【摘要】The relationship between air temperature and sovereign bond returns is founded on competing paradigms: macroeconomic, behavioural, and energy demand-based. Which of these theoretical mechanisms receives support from data? To answer this, we examine four decades of bond data from 31 countries. Overall, daily temperature positively affects government bond returns. A 10°F rise leads to an increase in sovereign bond returns between 0.22 and 0.85 basis points. We also document evidence of asymmetric and nonlinear price responses to both temperature levels and shocks. Our results survive a battery of robust-ness checks and lend support to the macroeconomic and behavioural paradigms, albeit not the energy demand-based view.