Unspanned macroeconomic factors in the yield curve

In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.

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Year of publication:	2014-07-30
Authors:	Coroneo, Laura ; Giannone, Domenico ; Modugno, Michele
Institutions:	Federal Reserve Board (Board of Governors of the Federal Reserve System)
Subject:	Yield curve \| government bonds \| factor models \| forecasting

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Extent:	application/pdf
Series:	Finance and Economics Discussion Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Finance and Economics Discussion Series Number 2014-57 49 pages
Classification:	C33 - Models with Panel Data ; C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010886225