The Predictive Power of the Term Structure during Recent Monetary Regimes

1988 ◽  
Vol 43 (2) ◽  
pp. 339-356 ◽  
Author(s):  
GIKAS A. HARDOUVELIS
Keyword(s):  
Term Structure ◽  
Predictive Power ◽  
Monetary Regimes

Testing the predictive power of the term structure without data snooping bias

2013 ◽  
Vol 121 (3) ◽  
pp. 546-549 ◽  
Author(s):  
Yi-Cheng Kao ◽  
Chung-Ming Kuan ◽  
Shikuan Chen
Keyword(s):  
Term Structure ◽  
Predictive Power ◽  
Data Snooping

Unspanned Global Macro Risks in Bond Returns

2021 ◽  
Author(s):  
Feng Zhao ◽  
Guofu Zhou ◽  
Xiaoneng Zhu
Keyword(s):  
Term Structure ◽  
Predictive Power ◽  
International Markets ◽  
Bond Markets ◽  
Market Prices ◽  
Macroeconomic Variables ◽  
Bond Returns ◽  
Large Panel ◽  
Term Premia ◽  
Macro Finance

We examine the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macroeconomic variables that are not subject to revisions, we find that global macro factors have predictive power for bond returns unspanned by yield factors. Furthermore, we estimate macro-finance term structure models with the unspanned global macro factors and find that the global macro factors influence the market prices of level and slope risks and induce comovements in forward term premia in global bond markets. This paper was accepted by David Simchi-Levi, finance.

Sign in / Sign up

Export Citation Format

Share Document