Unspanned macroeconomic factors in the yield curve
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.
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Part of Series: Finance and Economics Discussion Series
Publication Date: 2014-07-30
Pages: 49 pages