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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Citations

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Cited by:

  1. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
  2. Backwell, Alex, 2021. "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, vol. 122(C).
  3. Eguren Martin, Fernando & Meldrum, Andrew & Yan, Wen, 2021. "No-Arbitrage pricing of GDP-Linked bonds," Journal of Banking & Finance, Elsevier, vol. 126(C).
  4. Constantino Hevia & Martín Sola & Ivan Petrella, 2022. "Bond risk premia, priced regime shifts, and macroeconomic fundamentals," Department of Economics Working Papers 2022_03, Universidad Torcuato Di Tella.
  5. Sihvonen, Markus, 2021. "Yield curve momentum," Bank of Finland Research Discussion Papers 15/2021, Bank of Finland.
  6. Martin M. Andreasen, 2021. "The New Keynesian Model and Bond Yields," CREATES Research Papers 2021-01, Department of Economics and Business Economics, Aarhus University.
  7. Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015. "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers 527, Bank for International Settlements.
  8. Edward N Gamber & Julie K Smith, 2020. "Monetary policy and the yield curve," Economics Bulletin, AccessEcon, vol. 40(1), pages 407-424.
  9. Sihvonen, Markus, 2021. "Yield curve momentum," Research Discussion Papers 15/2021, Bank of Finland.
  10. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019. "Decomposing global yield curve co-movement," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
  11. Guo, Bin & Huang, Fuzhe & Li, Kai, 2022. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  12. Alex Aronovich & Andrew C. Meldrum, 2021. "High-Frequency Estimates of the Natural Real Rate and Inflation Expectations," Finance and Economics Discussion Series 2021-034, Board of Governors of the Federal Reserve System (U.S.).
  13. Edward N. Gamber (CBO), 2017. "Did Treasury Debt Markets Anticipate the Persistent Decline in Long-Term Interest Rates?: Working Paper 2017-07," Working Papers 53153, Congressional Budget Office.
  14. Rui Liu, 2019. "Forecasting Bond Risk Premia with Unspanned Macroeconomic Information," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-62, March.
  15. Moura, Rubens, 2022. "MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk," LIDAM Discussion Papers LFIN 2022001, Université catholique de Louvain, Louvain Finance (LFIN).
  16. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
  17. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
  18. Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
  19. Min Wei, 2019. "Comments on "Determinants of Asia-pacific government bond yields"," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 41-44, Bank for International Settlements.
  20. Davidson Heath, 2019. "Macroeconomic Factors in Oil Futures Markets," Management Science, INFORMS, vol. 65(9), pages 4407-4421, September.
  21. Goliński, Adam & Spencer, Peter, 2017. "The advantages of using excess returns to model the term structure," Journal of Financial Economics, Elsevier, vol. 125(1), pages 163-181.
  22. Shuo Cao, 2018. "Learning about Term Structure Predictability under Uncertainty," GRU Working Paper Series GRU_2018_006, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  23. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
  24. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
  25. Victor Olkhov, 2018. "How Macro Transactions Describe the Evolution and Fluctuation of Financial Variables," IJFS, MDPI, vol. 6(2), pages 1-19, March.
  26. Peter Feldhütter & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Risk Premia and Volatilities in a Nonlinear Term Structure Model [Quadratic term structure models: theory and evidence]," Review of Finance, European Finance Association, vol. 22(1), pages 337-380.
  27. Feng Zhao & Guofu Zhou & Xiaoneng Zhu, 2021. "Unspanned Global Macro Risks in Bond Returns," Management Science, INFORMS, vol. 67(12), pages 7825-7843, December.
  28. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
  29. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
  30. Zhang, Yugui & Zhu, Jie & Zhu, Xiaoneng, 2021. "Global bond risk premia under falling stars," Finance Research Letters, Elsevier, vol. 42(C).
  31. repec:zbw:bofrdp:2021_015 is not listed on IDEAS
  32. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.
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