摘要：This paper introduces unspanned global factors within a
FAVAR framework in a flexible reduced-form affine term structure
model. We apply our method to a panel of international
yield curves and show that global factors account for more than
80 percent of term premiums in advanced economies. In particular,
they tend to explain long-term dynamics in yield curves,
as opposed to domestic factors which are instead more relevant
for short-run movements. We uncover a key role for the third
principal component of the global term structure in shaping
risk-neutral rates and term premium dynamics, especially in
the post-2007 period.
