Unspanned macroeconomic factors in the yield curve

Laura Coroneo, Domenico Giannone and Michele Modugno

No 2014-57, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

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; 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: 49 pages
Date: 2014-07-30
New Economics Papers: this item is included in nep-for and nep-mac
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Citations: View citations in EconPapers (8)

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http://www.federalreserve.gov/pubs/feds/2014/201457/201457pap.pdf Full text (application/pdf)

Related works:
Journal Article: Unspanned Macroeconomic Factors in the Yield Curve (2016)
Working Paper: Unspanned Macroeconomic Factors in the Yields Curve (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2014-57

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