Artigo Acesso aberto Revisado por pares

Unspanned Macroeconomic Factors in the Yield Curve

2015; Taylor & Francis; Volume: 34; Issue: 3 Linguagem: Inglês

10.1080/07350015.2015.1052456

ISSN

1537-2707

Autores

Laura Coroneo, Domenico Giannone, Michèle Modugno,

Tópico(s)

Stochastic processes and financial applications

Resumo

In 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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