Unspanned Macroeconomic Factors in the Yield Curve
2015; Taylor & Francis; Volume: 34; Issue: 3 Linguagem: Inglês
10.1080/07350015.2015.1052456
ISSN1537-2707
AutoresLaura Coroneo, Domenico Giannone, Michèle Modugno,
Tópico(s)Stochastic processes and financial applications
ResumoIn this article, 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.
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