Unspanned Global Macro Risks in Bond Returns

References

• Abbritti M, Dell’Erba S, Moreno A, Sola S (2018) Global factors in the term structure of interest rates. Internat. J. Central Banking 14(53):301–340.Google Scholar
• Akaike H (1973) Information theory and an extension of the maximum likelihood principle. Petrov BN, Csaki F, eds. Proc. 2nd Internat. Sympos. Inform. Theory (Akademiai Kiado, Budapest, Hungary), 267–281.Google Scholar
• Ang A, Piazzesi M (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
• Bauer MD, Hamilton JD (2018) Robust bond risk premia. Rev. Financial Stud. 31(2):399–488.Crossref, Google Scholar
• Bauer MD, Rudebusch GD (2017) Resolving the spanning puzzle in macro-finance term structure models. Rev. Finance 21(2):511–553.Crossref, Google Scholar
• Bekaert G, Hodrick RJ, Marshall DA (1997) On biases in tests of the expectations hypothesis of the term structure of interest rates. J. Financial Econom. 44(3):309–348.Crossref, Google Scholar
• Buraschi A, Jiltsov A (2007) Habit formation and macroeconomic models of the term structure of interest rates. J. Finance 62(6):3009–3063.Crossref, Google Scholar
• Campbell JY, Shiller R (1991) Yield spreads and interest rates: A bird’s eye view. Rev. Econom. Stud. 58:495–514.Crossref, Google Scholar
• Campbell JY, Thompson SB (2008) Predicting excess stock returns out of sample: Can anything beat the historical average. Rev. Financial Stud. 21(4):1509–1531.Crossref, Google Scholar
• Canova F, Ciccarelli M, Ortega E (2007) Similarities and convergence in G-7 cycles. J. Monetary Econom. 54(3):850–878.Crossref, Google Scholar
• Chernov M, Mueller P (2012) The term structure of inflation expectations. J. Financial Econom. 106(2):367–394.Crossref, Google Scholar
• Cieslak A (2018) Short-rate expectations and unexpected returns in treasury bonds. Rev. Financial Stud. 31:3265–3306.Crossref, Google Scholar
• Cieslak A, Povala P (2015) Expected returns in treasury bonds. Rev. Financial Stud. 28(10):2859–2901.Crossref, Google Scholar
• Clark TE, West KD (2007) Approximately normal tests for equal predictive accuracy in nested models. J. Econometrics 138(1):85–110.Crossref, Google Scholar
• Cochrane JH, Piazzesi M (2005) Bond risk premia. Amer. Econom. Rev. 95(1):138–160.Crossref, Google Scholar
• Croushore D (2006) Forecasting with real-time macroeconomic data. Elliott G, Granger C, Timmermann A, eds. Handbook of Economic Forecasting, vol. 1 (Elsevier, Amsterdam), 961–982.Crossref, Google Scholar
• Croushore D, Stark T (2001) A real-time data set for macroeconomists. J. Econometrics 105(1):111–130.Crossref, Google Scholar
• Dahlquist M, Hasseltoft H (2013) International bond risk premia. J. Internat. Econom. 90(1):19–32.Crossref, Google Scholar
• Dai Q, Singleton KJ (2003) Term structure dynamics in theory and reality. Rev. Financial Stud. 16:631–678.Crossref, Google Scholar
• Diebold FX, Mariano RS (1995) Comparing predictive accuracy. J. Bus. Econom. Statist. 13(3):253–263.Crossref, Google Scholar
• Duffee G (2011) Information in (and not in) the term structure. Rev. Financial Stud. 24(9):2895–2934.Crossref, Google Scholar
• Fama EF, Bliss RR (1987) The information in long-maturity forward rates. Amer. Econom. Rev. 77(4):680–692.Google Scholar
• Ghysels E, Horan C, Moench E (2018) Forecasting through the rear-view mirror: Data revisions and bond return predictability. Rev. Financial Stud. 31(2):678–714.Crossref, Google Scholar
• Giacomini R, White H (2006) Tests of conditional predictive ability. Econometrica 74(6):1545–1578.Crossref, Google Scholar
• Greenwood R, Vayanos D (2014) Bond supply and excess bond returns. Rev. Financial Stud. 27(3):663–713.Crossref, Google Scholar
• Hannan E, Quinn B (1979) The determination of the order of an autoregression. J. Roy. Statist. Soc. B 41:190–195.Google Scholar
• Harvey D, Leybourne S, Newbold P (1997) Testing the equality of prediction mean squared errors. Internat. J. Forecasting 13(2):281–291.Crossref, Google Scholar
• Huang D, Jiang F, Tu J, Zhou G (2015) Investor sentiment aligned: a powerful predictor of stock returns. Rev. Financial Stud. 28(3):791–837.Crossref, Google Scholar
• Ilmanen A (1995) Time-varying expected returns in international bond markets. J. Finance 50(2):481–506.Crossref, Google Scholar
• Imbs J (2006) The real effects of financial integration. J. Internat. Econom. 68(2):296–324.Crossref, Google Scholar
• Jermann UJ (2013) A production-based model for the term structure. J. Financial Econom. 109(2):293–306.Crossref, Google Scholar
• Joslin S, Le A, Singleton KJ (2013) Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs. J. Financial Econom. 109(3):604–622.Crossref, Google Scholar
• Joslin S, Priebsch M, Singleton KJ (2014) Risk premiums in dynamic term structure models with unspanned macro risks. J. Finance 69(3):1197–1233.Crossref, Google Scholar
• Joslin S, Singleton KJ, Zhu H (2011) A new perspective on Gaussian dynamic term structure models. Rev. Financial Stud. 24(3):926–970.Crossref, Google Scholar
• Jotikasthira C, Le A, Lundblad C (2015) Why do term structures in different currencies co-move? J. Financial Econom. 115(1):58–83.Crossref, Google Scholar
• Kelly BT, Pruitt S (2013) Market expectations in the cross-section of present values. J. Finance 68(5):1721–1756.Crossref, Google Scholar
• Kelly BT, Pruitt S (2016) The three-pass regression filter: A new approach to forecasting with many predictors. J. Econometrics 186(2):294–316.Crossref, Google Scholar
• Kose MA, Otrok C, Whiteman CH (2003) International business cycles: world, region, and country-specific factors. Amer. Econom. Rev. 93(4):1216–1239.Crossref, Google Scholar
• Light N, Maslov D, Rytchkov O (2017) Aggregation of information about the cross section of stock returns: A latent variable approach. Rev. Financial Stud. 30(4):1339–1381.Crossref, Google Scholar
• Litterman R, Scheinkman J (1991) Common factors affecting bond returns. J. Fixed Income 1:54–61.Crossref, Google Scholar
• Ludvigson SC, Ng S (2009) Macro factors in bond risk premia. Rev. Financial Stud. 22(12):5027–5068.Crossref, Google Scholar
• Merton RC (1973) An intertemporal asset pricing model. Econometrica 41:867–887.Crossref, Google Scholar
• Piazzesi M, Schneider M (2006) Equilibrium yield curves. NBER Macroeconomics Annual 21:389–457.Crossref, Google Scholar
• Schwarz G (1978) Estimating the dimension of a model. Ann. Statist. 6(2):461–464.Crossref, Google Scholar
• Sutton GD (2000) Is there excess co-movement of bond yields between countries? J. Internat. Money Finance 19(3):363–376.Crossref, Google Scholar
• Thornton DL, Valente G (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
• Wachter J (2006) A consumption-based model of the term structure of interest rates. J. Financial Econom. 79(2):365–399.Crossref, Google Scholar
• Welch I, Goyal A (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21(4):1455–1508.Crossref, Google Scholar
• West KD (1996) Asymptotic inference about predictive ability. Econometrica 61(5):1067–1084.Crossref, Google Scholar
• Wold H (1966) Estimation of principal components and related models by iterative least squares. Krishnajah PR, ed. Multivariate Analysis (Academic Press, New York), 391–420.Google Scholar
• Wright J (2011) Term premia and inflation uncertainty: Empirical evidence from an international panel data set. Amer. Econom. Rev. 101(4):1514–1534.Crossref, Google Scholar
• Yamamoto T, Kumitomo N (1984) Asymptotic bias of the least squares estimator for multivariate autoregressions. Ann. Inst. Statist. Math. 36(3):419–430.Crossref, Google Scholar
• Zhu X (2015) Out-of-sample bond risk premium predictions: A global common factor. J. Internat. Money Finance 51(C):155–173.Crossref, Google Scholar