Coroneo, Laura orcid.org/0000-0001-5740-9315, Giannone, Domenico and Modugno, Michele (2015) Unspanned macroeconomic factors in the yield curve. Journal of Business and Economic Statistics. pp. 472-485. ISSN 0735-0015
Abstract
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Business & Economic Statistics. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Yield Curve,Government Bonds,Factor models,Forecasting |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Funding Information: | Funder Grant number ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC) ES/K001345/1 |
Depositing User: | Pure (York) |
Date Deposited: | 19 Oct 2015 09:41 |
Last Modified: | 24 Oct 2024 23:52 |
Published Version: | https://doi.org/10.1080/07350015.2015.1052456 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1080/07350015.2015.1052456 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:90596 |
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Description: Author Final Version
Filename: CGMjbesPaper.pdf
Description: Accepted Paper
Filename: CGMjbesAppendix.pdf
Description: Appendix