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- W1575981006 abstract "We decompose yields into long-horizon expected inflation and maturity-related cycles to study the predictability of bond excess returns. Cycles capture the risk premium and the business cycle variation of short rate expectations. From cycles, we construct a forecasting factor that explains up to above 50% (30%) of in-sample (out-of-sample) variation of annual bond returns. The factor varies at a frequency higher than the business cycle, and predicts real activity at long horizons. It also aggregates information from different macro-finance predictors of bond returns. Our decomposition reveals why bond returns are predictable by a linear combination of forward rates or the term spread." @default.
- W1575981006 created "2016-06-24" @default.
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- W1575981006 date "2012-01-01" @default.
- W1575981006 modified "2023-09-23" @default.
- W1575981006 title "Understanding bond risk premia" @default.
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