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Unspanned Macroeconomic Factors in the Yield Curve

2014; Volume: 2014; Issue: 057 Linguagem: Inglês

10.17016/feds.2014.057

2767-3898

Laura Coroneo, Domenico Giannone, Michèle Modugno,

Monetary Policy and Economic Impact

In this paper, 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.