"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 …

policy ingredients on the current state of the economy. Furthermore, I obtain a single factor which contains information from … the Taylor like monetary policy rule about the future state of the economy. This factor can predict between 32% and 74% of … the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

Komponente für einen möglichen Ausfall der Anleihe und eine Komponente, die als Residualspread bezeichnet wird. Zur Erklärung …