This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of …

Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We … less than the real factors; (iii) the inflation factors have almost no predictivepower and (iv) the excess bond returns …

"This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of …

This paper studies whether the evident statistical predictability of bond risk premia translates into economic gains … for investors. We propose a novel estimation strategy for a ne term structure models that jointly fits yields and bond … excess returns with high regressions R^2s and high forecast accuracy but cannot outperform the expectations hypothesis out …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …