Predicting bond betas using macro-finance variables

Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini ()

Finance Research Letters, 2019, vol. 29, issue C, 193-199

Abstract: We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables through complete subset regressions (CSR). We consider the robustness of CSR forecasts across the 1-month, 3-month, and 12-month forecasting horizons. The CSR method performs well in predicting bond betas.

Keywords: Bond betas; Complete subset regressions; Corporate bonds; Government bonds; Macro-finance variables; Model confidence set (search for similar items in EconPapers)
JEL-codes: C22 C53 C55 G12 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Predicting Bond Betas using Macro-Finance Variables (2018)
Working Paper: Predicting Bond Betas using Macro-Finance Variables (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:193-199

DOI: 10.1016/j.frl.2018.07.007

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