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Mind the (convergence) gap: bond predictability strikes back!
Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - 2019 - This version: August 29, 2019
We show that the difference between the natural rate of interest and the current level of monetary policy stance, which we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting regressions of bond excess returns significantly raises...
Persistent link: https://www.econbiz.de/10012134247
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Shape evolution of the interest rate term structure
Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457
cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct … recessions, the median-short yield spread trumps the long-short spread for horizons up to 17 months ahead and the yield curve … shape is nearly impressive as the median-short spread. Overall, the yield curve shape is an informative but more succinct …
Persistent link: https://www.econbiz.de/10012886359
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Explaining the US bond yield conundrum
Bandholz, Harm; Clostermann, Jörg; Seitz, Franz - 2007
frequently mentioned structural effects on long-term interest rates. Finally, our bond yield equation outperforms a random walk …
Persistent link: https://www.econbiz.de/10009517160
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Explaining the US bond yield conundrum
Bandholz, Harm; Clostermann, Jörg; Seitz, Franz - 2007
Persistent link: https://www.econbiz.de/10003443539
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Improving market-based forecasts of short-term interest rates : time-varying stationarity and the predictive content of switching regime-expectations
Ahrens, Ralf - 1999
Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....
Persistent link: https://www.econbiz.de/10009768272
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Comparing models for forecasting the yield curve
Matsumura, Marco Shinobu; Moreira, Ajax - 2015
The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...
Persistent link: https://www.econbiz.de/10012053243
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Predictability of Treasury Bond Returns : Risk Premia or Overreaction?
Rebonato, Riccardo - 2019
We examine whether the predictability and business-cycle dependence of excess returns in US Treasuries can be more naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the extremely parsimonious cognitive-bias model in...
Persistent link: https://www.econbiz.de/10012893290
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Forecasts of inflation and interest rates in no-arbitrage affine models
Gospodinov, Nikolaj; Wei, Bin - 2016
Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield …
Persistent link: https://www.econbiz.de/10011421729
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Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models
Gospodinov, Nikolay - 2017
Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield …
Persistent link: https://www.econbiz.de/10012970064
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Incorporating Model Uncertainty and Model Instability in Forecasting Bond Risk Premia and Term Structure of Government Bond Yield – A Bayesian Model Averaging Approach
Zhou, Hao (David) - 2012
tested with both statistical measures and economic measures. Many existing yield curve models do not incorporate the role of … model in forecasting one-month-ahead yield curve. We apply BMA to forecast the government bond yield change and indicate BMA …
Persistent link: https://www.econbiz.de/10013113732