Unspanned Macroeconomic Factors in the Yield Curve

Laura Coroneo, Domenico Giannone and Michele Modugno

Journal of Business & Economic Statistics, 2016, vol. 34, issue 3, 472-485

Abstract: In this article, 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.

Date: 2016
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Citations: View citations in EconPapers (42)

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Related works:
Working Paper: Unspanned macroeconomic factors in the yield curve (2014)
Working Paper: Unspanned Macroeconomic Factors in the Yields Curve (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:34:y:2016:i:3:p:472-485

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DOI: 10.1080/07350015.2015.1052456

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