Unspanned Macroeconomic Factors in the Yield Curve
Copyright policy )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.
- White Rose Consortium: University of Leeds; University of Sheffield; University of York United Kingdom
- Centre for Economic Policy Research United Kingdom
- University of York United Kingdom
- Federal Reserve Board of Governors United States
- Université Libre de Bruxelles Belgium
Yield curve; government bonds; factor models; forecasting, Yield curve; Government Bonds; factor models; forecasting, Models with Panel Data [Multiple or Simultaneous Equation Models], Determination of Interest Rates; Term Structure of Interest Rates, forecasting, Trading volume, Factor models, Yield curve, G12, C53, C33, Determination of Interest Rates, Bond Interest Rates, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, Forecasting and Other Model Applications, Government Bonds, Asset Pricing, factor models, Asset Pricing; Trading volume; Bond Interest Rates, Yield Curve, Economie, E44, Term Structure of Interest Rates, Forecasting, E43, jel: jel:E43, jel: jel:E44, jel: jel:C53, jel: jel:C33, jel: jel:G12
Yield curve; government bonds; factor models; forecasting, Yield curve; Government Bonds; factor models; forecasting, Models with Panel Data [Multiple or Simultaneous Equation Models], Determination of Interest Rates; Term Structure of Interest Rates, forecasting, Trading volume, Factor models, Yield curve, G12, C53, C33, Determination of Interest Rates, Bond Interest Rates, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, Forecasting and Other Model Applications, Government Bonds, Asset Pricing, factor models, Asset Pricing; Trading volume; Bond Interest Rates, Yield Curve, Economie, E44, Term Structure of Interest Rates, Forecasting, E43, jel: jel:E43, jel: jel:E44, jel: jel:C53, jel: jel:C33, jel: jel:G12
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).70 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 1% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 10%
Citations provided by BIP!Popularity provided by BIP!