Unspanned Macroeconomic Factors in the Yields Curve
AbstractWe 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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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2013-07.
Length: 34 p.
Date of creation: Jan 2013
Date of revision:
Publication status: Published by:
Yield curve; Government Bonds; factor models; forecasting;
Other versions of this item:
- Coroneo, Laura & Giannone, Domenico & Modugno, Michele, 2014. "Unspanned macroeconomic factors in the yield curve," Finance and Economics Discussion Series 2014-57, Board of Governors of the Federal Reserve System (U.S.).
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-08 (All new papers)
- NEP-FOR-2013-02-08 (Forecasting)
- NEP-MAC-2013-02-08 (Macroeconomics)
You can help add them by filling out this form.
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- Constantino Hevia & Martin Gonzalez-Rozada & Martin Sola & Fabio Spagnolo, 2014.
"Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model,"
BCAM Working Papers
1403, Birkbeck Centre for Applied Macroeconomics.
- Martin Gonzalez-Rozada & Martin sola & Constantino Hevia & Fabio Spagnolo, 2012. "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," Department of Economics Working Papers 2012-07, Universidad Torcuato Di Tella.
- Carlo Altavilla & Raffaella Giacomini & Giuseppe Ragusa, 2013.
"Anchoring the yield curve using survey expectations,"
CeMMAP working papers
CWP52/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Altavilla, Carlo & Giacomini, Raffaella & Ragusa, Giuseppe, 2013. "Anchoring the Yield Curve Using Survey Expectations," CEPR Discussion Papers 9738, C.E.P.R. Discussion Papers.
- Altavilla, Carlo & Giacomini, Raffaella & Ragusa, Giuseppe, 2014. "Anchoring the yield curve using survey expectations," Working Paper Series 1632, European Central Bank.
- Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2013. "Bond returns and market expectations," CeMMAP working papers CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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