By the same authors

Unspanned macroeconomic factors in the yield curve

Research output: Working paper

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Publication details

DatePublished - 2014
PublisherFederal Reserve Board, Washington, D.C.
Place of PublicationBrussels
Number of pages35
Original languageEnglish

Publication series

NameFinance and Economics Discussion Series
PublisherDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.
No.57
Volume2014

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.

    Research areas

  • Yield Curve, Forecasting, Factor models, Government Bonds

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