Unspanned macroeconomic factors in the yield curve

Laura Coroneo; Domenico Giannone; Michele  Modugno

doi:10.1080/07350015.2015.1052456

Unspanned macroeconomic factors in the yield curve

Laura Coroneo, Domenico Giannone, Michele Modugno

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	472-485
Journal	Journal of Business and Economic Statistics
Volume	34
Issue number	3
Early online date	11 Jun 2015
DOIs	https://doi.org/10.1080/07350015.2015.1052456
Publication status	Published - 19 Jul 2015

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.

Keywords

Yield Curve
Government Bonds
Factor models
Forecasting

Access to Document

10.1080/07350015.2015.1052456

Author Final Version
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.
Submitted manuscript, 548 KB
Accepted Paper
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.
Accepted author manuscript, 548 KB
Appendix
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.
Accepted author manuscript, 307 KB

Laura Coroneo
- laura.coroneoyork.acuk
- Economics - Professor
Person: Academic

6 Conference participation
2 Seminar/workshop/course
2 Media (Radio)
1 Invited talk
More
- 1 Seminar

Invited presentation at Now-Casting Economics Ltd
Laura Coroneo (Invited speaker)
13 Sept 2016
Activity: Talk or presentation › Invited talk
Money Macro and Finance Research Group Annual Conference
Laura Coroneo (Speaker)
9 Sept 2015 → 11 Sept 2015
Activity: Participating in or organising an event › Conference participation
BBC Radio York interview on the Chinese black Monday
Laura Coroneo (Interviewee)
24 Aug 2015
Activity: Other › Media (Radio)

Modelling government bonds: macroeconomic, financial and international linkages
Coroneo, L.
ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC)
1/01/13 → 31/12/16
Project: Research project (funded) › Research

Cite this

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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.",

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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 - Government Bonds

KW - Factor models

KW - Forecasting

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Unspanned macroeconomic factors in the yield curve

Abstract

Bibliographical note

Keywords

Access to Document

Profiles

Laura Coroneo

Activities

Invited presentation at Now-Casting Economics Ltd

Money Macro and Finance Research Group Annual Conference

BBC Radio York interview on the Chinese black Monday

Projects

Modelling government bonds: macroeconomic, financial and international linkages

Cite this