Unspanned Macroeconomic Factors in the Yields Curve

We show that two macroeconomic factors have an important predictive content for governmentbond yields and excess returns. These factors are not spanned by the cross-section of yields andare well proxied by economic growth and real interest rates.

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Year of publication:	2013-01
Authors:	Giannone, Domenico ; Coroneo, Laura ; Modugno, Michèle
Institutions:	European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
Subject:	Yield curve \| Government Bonds \| factor models \| forecasting

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Extent:	application/pdf
Series:	Working Papers ECARES.
Type of publication:	Book / Working Paper
Notes:	Published by: The text is part of a series ECARES Working Papers Number ECARES 2013-07 34 pages long
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/10010606850