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Macroeconomic determinants of the term structure: Long-run and short-run dynamics

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  • Doshi, Hitesh
  • Jacobs, Kris
  • Liu, Rui

Abstract

We propose a no-arbitrage term structure model with a Taylor rule and two macroeconomic variables, real activity growth and inflation, that each contain long-run and short-run components. Variance decompositions indicate that the impact of macroeconomic variables on the term structure differs from existing models. For short maturities, inflation is relatively more important than real activity growth at short forecast horizons. For longer maturity yields, the long-run component of inflation explains most of the long-horizon forecast variance, but real activity growth matters for short forecast horizons. Unlike existing macro models, the model implies plausible term premia and expectations of short rates. The long-run components also improve the prediction of bond excess returns relative to information in the yield curve and macro variables. Measures of in-sample and out-of-sample fit confirm the benefits of allowing for long- and short-run components.

Suggested Citation

  • Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
  • Handle: RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122
    DOI: 10.1016/j.jempfin.2018.06.002
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    More about this item

    Keywords

    Term structure; Inflation; Real activity growth; Long-run component; Filtering;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • 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

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