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Unspanned macroeconomic factors in the yield curve

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JournalJournal of Business and Economic Statistics
DateE-pub ahead of print - 11 Jun 2015
DatePublished (current) - 2015
Early online date11/06/15
Original languageEnglish

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.

Bibliographical note

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.

    Research areas

  • Yield Curve, Government Bonds, Factor models, Forecasting

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  • European Central Bank

    Impact: Economic

  • Now-Casting

    Impact: Economic

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