Bond Return Predictability: Economic Value and Links to the Macroeconomy
Published Online:22 Sep 2017https://doi.org/10.1287/mnsc.2017.2829
References
- (2013) Decomposing real and nominal yield curves. Staff Report 570, Federal Reserve Bank of New York, New York.Google Scholar
- (2014) Bond returns and market expectations. J. Financial Econometrics 12(4):708–729.Crossref, Google Scholar
- (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60(4):953–966.Crossref, Google Scholar
- (2003) A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. J. Monetary Econom. 50(4):745–787.Crossref, Google Scholar
- (2007) No-arbitrage Taylor rules. NBER Working Paper 13448, National Bureau of Economic Research, Cambridge, MA.Crossref, Google Scholar
- (2008) The intertemporal relation between expected returns and risk. J. Financial Econom. 87:101–131.Crossref, Google Scholar
- (2010) The intertemporal capital asset pricing model with dynamic conditional correlations. J. Monetary Econom. 57(4):377–390.Crossref, Google Scholar
- (2015) Can we exploit predictability in bond markets? Working paper, Emory University, Atlanta.Google Scholar
- (2018) Robust bond risk premia. Rev. Financial Stud. 31(2):399–448.Crossref, Google Scholar
- (2010) No-arbitrage macroeconomic determinants of the yield curve. J. Econometrics 159(1):166–182.Crossref, Google Scholar
- (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
- (1991) Yield spreads and interest rate movements: A bird’s eye view. Rev. Econom. Stud. 58(3):495–514.Crossref, Google Scholar
- (2008) Predicting excess stock returns out of sample: Can anything beat the historical average? Rev. Financial Stud. 21(4):1509–1531.Crossref, Google Scholar
- (1999) Consumption and portfolio decisions when expected returns are time varying. Quart. J. Econom. 114(2):433–495.Crossref, Google Scholar
- (1994) On Gibbs sampling for state space models. Biometrika 81(3):541–553.Crossref, Google Scholar
- (2011) Expectations, bond yields, and monetary policy. Rev. Financial Stud. 24(1):208–247.Crossref, Google Scholar
- (2016) Short-rate expectations and unexpected returns in treasury bonds. Working paper, Duke University, Durham, NC.Google Scholar
- (2011) Testing for unconditional predictive ability. Clements M, Hendry D, eds. Oxford Handbook of Economic Forecasting (Oxford University Press, Oxford, UK), 415–440.Crossref, Google Scholar
- (2015) Macroeconomic forecasting performance under alternative specifications of time-varying volatility. J. Appl. Econometrics 30(4):551–575.Crossref, Google Scholar
- (2007) Approximately normal tests for equal predictive accuracy in nested models. J. Econometrics 138(1):291–311.Crossref, Google Scholar
- (2005) Bond risk premia. Amer. Econom. Rev. 95(1):138–160.Crossref, Google Scholar
- (2010) Inflation-gap persistence in the US. Amer. Econom. J. Macroeconom. 2(1):43–69.Crossref, Google Scholar
- (2002) Evolving post-World War II U.S. inflation dynamics. Bernanke B, Rogoff K, eds. NBER Macroeconomics Annual 2001 (MIT Press, Cambridge, MA), 331–388.Google Scholar
- (2016) Bond risk premia in consumption-based models. Working paper, University of Chicago Booth School of Business, Chicago.Crossref, Google Scholar
- (2017) Why does return predictability concentrate in bad times? J. Finance. 72(6):2717–2758.Crossref, Google Scholar
- (2002) Expectations puzzles, time-varying risk premia, and affine models of the term structure. J. Financial Econom. 63:415–441.Crossref, Google Scholar
- (2012) Predictive regressions with time-varying coefficients. J. Financial Econom. 106(1):157–181.Crossref, Google Scholar
- (2015) Time varying structural vector autoregressions and monetary policy: A corrigendum. Rev. Econom. Stud. 82(4):1342–1345.Crossref, Google Scholar
- (2014) Information in the yield curve: A macro-finance approach. J. Appl. Econometrics 29(1):42–64.Crossref, Google Scholar
- (1995) Comparing predictive accuracy. J. Bus. Econom. Statist. 13(3):253–263.Crossref, Google Scholar
- (2010) Sharpe ratios in term structure models. Working paper, Johns Hopkins University, Baltimore.Google Scholar
- (2011) Information in (and not in) the term structure. Rev. Financial Stud. 24(9):2895–2934.Crossref, Google Scholar
- (2013) Forecasting interest rates. Elliot G, Timmermann A, eds. Handbook of Economic Forecasting, Vol. 2 (North-Holland, Amsterdam), 385–426.Crossref, Google Scholar
- (2002) A simple and efficient simulation smoother for state space time series analysis. Biometrika 89(3):603–615.Crossref, Google Scholar
- (2010) Large-Scale Inference: Empirical Bayes Methods for Estimation, Testing, and Prediction (Cambridge University Press, Cambridge, UK).Crossref, Google Scholar
- (2013) Complete subset regressions. J. Econometrics 177(2):357–373.Crossref, Google Scholar
- (2002) Dynamic conditional correlation—A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J. Bus. Econom. Statist. 20(3):339–350.Crossref, Google Scholar
- (2013) Bond return predictability in expansions and recessions. CREATES Research Paper 2013-13, Center for Research in Econometric Analysis of Times Series, Aarhus, Denmark.Google Scholar
- (1987) The information in long-maturity forward rates. Amer. Econom. Rev. 77(4):680–692.Google Scholar
- (2010) Comparing and evaluating Bayesian predictive distributions of asset returns. Internat. J. Forecasting 26(2):216–230.Crossref, Google Scholar
- (2011) Optimal prediction pools. J. Econometrics 164(1):130–141.Crossref, Google Scholar
- (2016) Learning, dispersion of beliefs, and risk premiums in an arbitrage-free term structure model. Working paper, Stanford University, Stanford, CA.Google Scholar
- (2007) The U.S. Treasury yield curve: 1961 to the present. J. Monetary Econom. 54(8):2291–2304.Crossref, Google Scholar
- (2007) Combining density forecasts. Internat. J. Forecasting 23(1):1–13.Crossref, Google Scholar
- (2011) Time-varying short-horizon predictability. J. Financial Econom. 99(3):560–580.Crossref, Google Scholar
- (2014) Determinants of bond risk premia. Working paper, Tsinghua University, Beijing.Google Scholar
- (2010) t-statistic based correlation and heterogeneity robust inference. J. Bus. Econom. Statist. 28(4):453–468.Crossref, Google Scholar
- (2007) Portfolio performance manipulation and manipulation-proof performance measures. Rev. Financial Stud. 20(5):1503–1546.Crossref, Google Scholar
- (2014) Sequential learning, predictive regressions, and optimal portfolio returns. J. Finance 69(2):611–644.Crossref, Google Scholar
- (2014) Interest rate volatility and no-arbitrage affine term structure models. Working paper, University of Southern California, Los Angeles.Google Scholar
- (2014) Risk premiums in dynamic term structure models with unspanned macro risks. J. Finance 69(3):1197–1233.Crossref, Google Scholar
- (2011) A new perspective on Gaussian dynamic term structure models. Rev. Financial Stud. 24(3):926–970.Crossref, Google Scholar
- (1998) Stochastic volatility: Likelihood inference and comparison with arch models. Rev. Econom. Stud. 65(3):361–393.Crossref, Google Scholar
- (2018) Forecasting corporate bond returns with a large set of predictors: An iterated combination approach. Management Sci. 64(9):4218–4238.Link, Google Scholar
- (2009) Macro factors in bond risk premia. Rev. Financial Stud. 22(12):5027–5067.Crossref, Google Scholar
- (2015) FRED-MD: A monthly database for macroeconomic research. Working Paper 2015-012A, Federal Reserve Bank of St. Louis, St. Louis.Google Scholar
- (1987) Parsimonious modeling of yield curves. J. Bus. 60(4):473–489.Crossref, Google Scholar
- (2014) Forecasting stock returns under economic constraints. J. Financial Econom. 114(3):517–553.Crossref, Google Scholar
- (2015) Trend and cycle in bond premia. Working paper, Stanford University, Stanford, CA.Google Scholar
- (2005) Time varying structural vector autoregressions and monetary policy. Rev. Econom. Stud. 72(3):821–852.Crossref, Google Scholar
- (2010) Out-of-sample equity premium prediction: Combination forecasts and links to the real economy. Rev. Financial Stud. 23(2):821–862.Crossref, Google Scholar
- (2016) The economic value of predicting bond risk premia. J. Empirical Finance 37:247–267.Crossref, Google Scholar
- (2006) Were there regime switches in U.S. monetary policy? Amer. Econom. Rev. 96(1):54–81.Crossref, Google Scholar
- (1999) Forecasting inflation. J. Monetary Econom. 44(2):293–335.Crossref, Google Scholar
- (2006) Forecasting with many predictors. Elliot G, Granger CWJ, Timmermann A, eds. Handbook of Economic Forecasting, Vol. 1 (North-Holland, Amsterdam), 515–554.Crossref, Google Scholar
- (2010) Modeling inflation after the crisis. NBER Working Paper 16488, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (1994) Estimating and interpreting forward interest rates: Sweden 1992–1994. NBER Working Paper 4871, National Bureau of Economic Research, Cambridge, MA.Crossref, Google Scholar
- (2012) Out-of-sample predictions of bond excess returns and forward rates: An asset-allocation perspective. Rev. Financial Stud. 25(10):3141–3168.Crossref, Google Scholar
- (2006) A consumption-based model of the term structure of interest rates. J. Financial Econom. 79(2):365–399.Crossref, Google Scholar
- (2013) Reverse regressions and long-horizon forecasting. J. Appl. Econometrics 28(3):353–371.Crossref, Google Scholar
- (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21(4):1455–1508.Crossref, Google Scholar
- (2011) Term premia and inflation uncertainty: Empirical evidence from an international panel data set. Amer. Econom. Rev. 101(4):1514–1534.Crossref, Google Scholar

