By the same authors

Unspanned macroeconomic factors in the yield curve

Research output: Working paper

Standard

Unspanned macroeconomic factors in the yield curve. / Coroneo, Laura; Giannone, Domenico; Modugno, Michele .

Brussels : Federal Reserve Board, Washington, D.C., 2014. (Finance and Economics Discussion Series ; Vol. 2014, No. 57).

Research output: Working paper

Harvard

Coroneo, L, Giannone, D & Modugno, M 2014 'Unspanned macroeconomic factors in the yield curve' Finance and Economics Discussion Series , no. 57, vol. 2014, Federal Reserve Board, Washington, D.C., Brussels. <http://www.federalreserve.gov/pubs/feds/2014/201457/201457pap.pdf>

APA

Coroneo, L., Giannone, D., & Modugno, M. (2014). Unspanned macroeconomic factors in the yield curve. (Finance and Economics Discussion Series ; Vol. 2014, No. 57). Federal Reserve Board, Washington, D.C. http://www.federalreserve.gov/pubs/feds/2014/201457/201457pap.pdf

Vancouver

Coroneo L, Giannone D, Modugno M. Unspanned macroeconomic factors in the yield curve. Brussels: Federal Reserve Board, Washington, D.C. 2014. (Finance and Economics Discussion Series ; 57).

Author

Coroneo, Laura ; Giannone, Domenico ; Modugno, Michele . / Unspanned macroeconomic factors in the yield curve. Brussels : Federal Reserve Board, Washington, D.C., 2014. (Finance and Economics Discussion Series ; 57).

Bibtex - Download

@techreport{f9097babf22044b299d78386ca66963f,
title = "Unspanned macroeconomic factors in the yield curve",
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.",
keywords = "Yield Curve, Forecasting, Factor models, Government Bonds",
author = "Laura Coroneo and Domenico Giannone and Michele Modugno",
year = "2014",
language = "English",
series = "Finance and Economics Discussion Series ",
publisher = "Federal Reserve Board, Washington, D.C.",
number = "57",
type = "WorkingPaper",
institution = "Federal Reserve Board, Washington, D.C.",

}

RIS (suitable for import to EndNote) - Download

TY - UNPB

T1 - Unspanned macroeconomic factors in the yield curve

AU - Coroneo, Laura

AU - Giannone, Domenico

AU - Modugno, Michele

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

KW - Yield Curve

KW - Forecasting

KW - Factor models

KW - Government Bonds

M3 - Working paper

T3 - Finance and Economics Discussion Series

BT - Unspanned macroeconomic factors in the yield curve

PB - Federal Reserve Board, Washington, D.C.

CY - Brussels

ER -