全球智库信息集成服务系统(G2TT): DP10104 Bond Return Predictability: Economic Value and Links to the Macroeconomy

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来源类型	Discussion paper
规范类型	论文
来源ID	DP10104
	DP10104 Bond Return Predictability: Economic Value and Links to the Macroeconomy
	Henry Allan Timmermann; Davide Pettenuzzo; Antonio Gargano
发表日期	2014-08-10
出版年	2014
语种	英语
摘要	Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for important features of bond return models such as time varying parameters and volatility dynamics. A three-factor model comprising the Fama-Bliss (1987) forward spread, the Cochrane-Piazzesi (2005) combination of forward rates and the Ludvigson-Ng (2009) macro factor generates notable gains in out-of-sample forecast accuracy compared with a model based on the expectations hypothesis. Importantly, we find that such gains in predictive accuracy translate into higher risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the performance of model combinations. Finally, we find that bond excess returns are predicted to be significantly higher during periods with high inflation uncertainty and low economic growth and that the degree of predictability rises during recessions.
主题	Financial Economics
关键词	Bayesian estimation Bond returns Model uncertainty stochastic volatility Time-varying parameters
URL	https://cepr.org/publications/dp10104
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/538937
推荐引用方式 GB/T 7714	Henry Allan Timmermann,Davide Pettenuzzo,Antonio Gargano. DP10104 Bond Return Predictability: Economic Value and Links to the Macroeconomy. 2014.