Predicting Bond Betas using Macro-Finance Variables
Aslanidis, Nektarios,,
Charlotte Christiansen,
Andrea Cipollini () and
Bons -- Models Matemàtics
Working Papers from Universitat Rovira i Virgili, Department of Economics
Abstract:
We predict bond betas conditioning on various 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 explanatory variables through complete subset regressions (CSR). We consider the robustness of CSR forecasts across the 1-month, 3-month, and 12-month forecasting horizon. 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. JEL Classifications: C22; C53; C55; G12.
Keywords: Bons -- Models matemàtics; 336 - Finances. Banca. Moneda. Borsa (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-fmk
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http://hdl.handle.net/2072/306546
Related works:
Journal Article: Predicting bond betas using macro-finance variables (2019)
Working Paper: Predicting Bond Betas using Macro-Finance Variables (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/306546
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