Unspanned Macroeconomic Factors in the Yields Curve

Laura Coroneo, Domenico Giannone and Michele Modugno

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: We show that two macroeconomic factors have an important predictive content for governmentbond yields and excess returns. These factors are not spanned by the cross-section of yields andare well proxied by economic growth and real interest rates.

Keywords: Yield curve; Government Bonds; factor models; forecasting (search for similar items in EconPapers)
JEL-codes: C33 C53 E43 E44 G12 (search for similar items in EconPapers)
Pages: 34 p.
Date: 2013-01
New Economics Papers: this item is included in nep-for and nep-mac
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Citations: View citations in EconPapers (13)

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https://dipot.ulb.ac.be/dspace/bitstream/2013/1389 ... ODUGNO-unspanned.pdf 2013-07-CORONEO_GIANNONE_MODUGNO-unspanned (application/pdf)

Related works:
Journal Article: Unspanned Macroeconomic Factors in the Yield Curve (2016)
Working Paper: Unspanned macroeconomic factors in the yield curve (2014)
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