Predicting Bond Return Predictability

References

• Adämmer P, Schüssler RA (2020) Forecasting the equity premium: Mind the news! Rev. Financ. 43(1):1593–1636.Google Scholar
• Adrian T, Fleming M, Vogt E (2017) An index of Treasury market liquidity: 1991-2017. Report, Federal Reserve Bank of New York, New York.Google Scholar
• Aiolfi M, Timmermann A (2006) Persistence in forecasting performance and conditional combination strategies. J. Econometrics 135(1–2):31–53.Crossref, Google Scholar
• Aiolfi M, Capistrán C, Timmermann A (2011) Forecast combination. Clements MP, Hendry DF, eds. Oxford Handbook of Economic Forecasting (Oxford University Press, New York), 355–388.Crossref, Google Scholar
• Andreasen MM, Engsted T, Møller SV, Sander M (2021) The yield spread and bond return predictability in expansion and recessions. Rev. Financial Stud. 34(6):2773–2812.Crossref, Google Scholar
• Ang A, Bekaert G (2002) Regime switches in interest rates. J. Bus. Econom. Statist. 20(2):163–182.Crossref, Google Scholar
• Augustin P, Tédongap R (2021) Disappointment aversion, term structure, and predictability puzzles in bond markets. Management Sci. 67(10):6266–6293.Link, Google Scholar
• Baker SR, Bloom N, Davis SJ (2016) Measuring economic policy uncertainty. Quart. J. Econom. 131(4):1593–1636.Crossref, Google Scholar
• Bali TG, Brown SJ, Tang Y (2017) Is economic uncertainty priced in the cross-section of stock returns? J. Financial Econom. 126:471–489.Crossref, Google Scholar
• Bates JM, Granger CWJ (1969) The combination of forecasts. Oper. Res. Quart. 20(4):451–468.Crossref, Google Scholar
• Bauer MD, Hamilton JD (2018) Robust bond risk premia. Rev. Financial Stud. 31(2):399–448.Crossref, Google Scholar
• Bekaert G, Engstrom E, Xing Y (2009) Risk, uncertainty, and asset prices. J. Financial Econom. 91:59–82.Crossref, Google Scholar
• Bekaert G, Engstrom EC, Xu NR (2021) The time variation in risk appetite and uncertainty. Management Sci. 68(6):3975–4004.Google Scholar
• Berardi A, Markovich M, Plazzi A, Tamoni A (2021) Mind the (covergence) gap: Bond predictability strikes back! Management Sci. 67(12):7888–7911.Link, Google Scholar
• Berge TJ, Jordà Ò (2011) Evaluating the classification of economic activity into recessions and expansion. Amer. Econom. J. Macroeconom. 3:246–277.Crossref, Google Scholar
• Bianchi D, Büchner M, Tamoni A (2021) Bond risk premia with machine learning. Rev. Financial Stud. 34(2):1046–1089.Crossref, Google Scholar
• Bloom N (2009) The impact of uncertainty shocks. Econometrica 77(3):623–685.Crossref, Google Scholar
• Borup D, Schütte ECM (2022) Asset pricing with data revisions. J. Financial Markets 59(Part B):100620.Crossref, Google Scholar
• Borup D, Thyrsgaard M (2017) Statistical tests for equal predictive ability across multiple forecasting methods. Working paper, Aarhus University, Aarhus, Denmark.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, Cochrane JH (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
• Campbell JY, Shiller RJ (1991) Yield spreads and interest rate movements: A bird’s eye view. Rev. Econ. Stud. 58(3):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
• Carpenter JN, Lu F, Whitelaw RF (2021) The price and quantity of interest rate risk. Working paper, NYU Stern School of Business, New York.Google Scholar
• Christiansen C, Eriksen JN, Møller SV (2014) Forecasting US recessions: The role of sentiment. J. Banking Finance 49:459–468.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, McCracken MW (2001) Tests of equal forecat accuracy and encompassing for nested models. J. Econometrics 105(1):85–110.Crossref, Google Scholar
• Clark TE, McCracken MW (2012) Reality checks and comparison of nested predictive models. J. Bus. Econom. Statist. 30(1):53–66.Crossref, Google Scholar
• Clark TE, West KD (2007) Approximately normal tests for equal predictive accuracy in nested models. J. Econometrics 138:291–311.Crossref, Google Scholar
• Cochrane JH, Piazzesi M (2005) Bond risk premia. Amer. Econom. Rev. 95(1):138–160.Crossref, Google Scholar
• Cooper I, Priestley R (2009) Time-varying risk premiums and the output gap. Rev. Financial Stud. 22(7):2801–2833.Crossref, Google Scholar
• Creal DD, Wu JC (2020) Bond risk premia in consumption-based models. Quant. Econom. 11(4):1461–1484.Google Scholar
• Cujean J, Hasler M (2017) Why does return predictability concentrate in bad times? J. Finance 72(6):2717–2758.Crossref, Google Scholar
• Dangl T, Halling M (2012) Predictive regressions with time-varying coefficients. J. Financial Econom. 106:157–181.Crossref, Google Scholar
• Diebold FX, Mariano RS (1995) Comparing predictive accuracy. J. Bus. Econom. Statist. 13(3):134–144.Google Scholar
• Diebold FX, Pauly P (1987) Structural change and the combination of forecasts. J. Forecasting 6(1):21–40.Crossref, Google Scholar
• Diebold FX, Shin M (2019) Machine learning for regularized survey forecast combination: Partially-egalitarian lasso and its derivatives. Internat. J. Forecasting 35(4):1679–1691.Crossref, Google Scholar
• Drechsler I (2013) Uncertainty, time-varying fear, and asset prices. J. Finance 68(5):1843–1889.Crossref, Google Scholar
• Eriksen JN (2017) Expected business conditions and bond risk premia. J. Financial Quant. Anal. 52(4):1667–1703.Crossref, Google Scholar
• Fama EF, Bliss RR (1987) The information in long-maturity forward rates. Amer. Econom. Rev. 77(4):680–692.Google Scholar
• Fama EF, French KR (1989) Business conditions and expected returns on stocks and bonds. J. Financial Econom. 25:23–49.Crossref, Google Scholar
• Farmer LE, Schmidt L, Timmermann A (2021) Pockets of predictability. J. Finance Forthcoming.Google Scholar
• Gargano A, Pettenuzzo D, Timmermann A (2019) Bond return predictability: Economic value and links to the macroeconomy. Management Sci. 65(2):508–540.Link, Google Scholar
• Ghysels E, Horan C, Moench E (2018) Forecasting through the rearview mirror: Data revisions and bond return predictability. Rev. Financial Stud. 31(2):678–714.Crossref, Google Scholar
• Giacomini R, Rossi B (2010) Forecast comparisons in unstable environments. J. Appl. Econometrics 25(4):595–620.Crossref, Google Scholar
• Giacomini R, White H (2006) Tests of conditional predictive ability. Econometrica 74(6):1545–1578.Crossref, Google Scholar
• Gonçalves S, McCracken MW, Perron B (2017) Tests of equal accuracy for nested models with estimated factors. J. Econometrics 198(2):231–252.Crossref, Google Scholar
• Goyal A, Welch I (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21(4):1455–1508.Crossref, Google Scholar
• Granger CWJ, Machina MJ (2006) Forecasting and decision theory. Handbook of Economic Forecasting (Elsevier, New York), 82–98.Crossref, Google Scholar
• Granger CWJ, Ramanathan R (1984) Improved method of combining forecasts. J. Forecasting 3(2):197–204.Crossref, Google Scholar
• Granziera E, Sekhposyan T (2019) Predicting relative forecasting performance: An empirical investigation. Internat. J. Forecasting 35(4):1636–1657.Crossref, Google Scholar
• Gray SF (1996) Modeling the conditional distribution of interest rates as a regime-switching process. J. Financial Econom. 42:27–62.Crossref, Google Scholar
• Gu S, Kelly B, Xiu D (2020) Empirical asset pricing via machine learning. Rev. Financial Stud. 33(5):2223–2273.Crossref, Google Scholar
• Gürkaynak RS, Sack B, Wright JH (2007) The U.S. treasury yield curve: 1961 to the present. J. Monetary Econom. 54(8):2291–2304.Crossref, Google Scholar
• Hamilton JD (1988) Rational-expectations economic analysis of changes in regimes: An investigation of the term structure of interest rates. J. Econom. Dynamic Control 12:385–423.Crossref, Google Scholar
• Hansen PR, Lunde A, Nason JM (2011) The model confidence set. Econometrica 79(2):453–497.Crossref, Google Scholar
• Henkel SJ, Martin JS, Nardari F (2011) Time-varying short-horizon predictability. J. Financial Econom. 99:560–580.Crossref, Google Scholar
• Hubrich K, West KD (2010) Forecast evaluation of small nested model sets. J. Appl. Econometrics 25:574–594.Crossref, Google Scholar
• Jose VRR, Winkler RL (2008) Simple robust averages of forecasts: Some empirical results. Internat. J. Forecasting 24:163–169.Crossref, Google Scholar
• Jurado K, Ludvigson SC, Ng S (2015) Measuring uncertainty. Amer. Econom. Rev. 105(3):1177–1216.Crossref, Google Scholar
• Keim DB, Stambaugh RF (1986) Predicting returns in the stock and bond markets. J. Financial Econom. 17:357–390.Crossref, Google Scholar
• Liew J, Vassalou M (2000) Can book-to-market, size and momentum be risk factors that predict economic growth? J. Financial Econom. 57:221–245.Crossref, Google Scholar
• Litterman R, Scheinkman J (1991) Common factors affecting bond returns. J. Fixed Income 1(1):54–61.Crossref, Google Scholar
• Liu Y, Wu JC (2021) Reconstructing the yield curve. J. Financial Econom. 143:1395–1425.Crossref, Google Scholar
• Ludvigson SC, Ng S (2009) Macro factors in bond risk premia. Rev. Financial Stud. 22(12):5027–5067.Crossref, Google Scholar
• Ludvigson SC, Ma S, Ng S (2019) Uncertainty and business cycles: Exogenous impulse or endogenous response? Amer. Econom. J. Macroeconom. 13(4):369–410.Google Scholar
• Makridakis S, Winkler RL (1983) Averages of forecasts: Some empirical results. Management Sci. 29(9):987–996.Google Scholar
• Mariano RS, Preve D (2012) Statistical tests for multiple forecast comparison. J. Econometrics 169(1):123–130.Crossref, Google Scholar
• McCracken MW (2007) Asymptotics for out of sample tests of Granger causality. J. Econometrics 140(2):719–752.Crossref, Google Scholar
• McCracken MW, Ng S (2016) FRED-MD: A monthly database for macroeconomic research. J. Bus. Econom. Statist. 34(4):574–589.Crossref, Google Scholar
• Newey WK, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
• Pelger M, Xiong R (2022) State-varying factor models of large dimensions. J. Bus. Econom. Statist. 40(2):1315–1333.Google Scholar
• Rapach DE, Strauss JK, Zhou G (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
• Samuels JD, Sekkel RM (2017) Model confidence sets and forecast combination. Internat. J. Forecasting 33:48–60.Crossref, Google Scholar
• Sarno L, Schneider P, Wagner C (2016) The economic value of predicting bond risk premia. J. Empirical Finance 37:247–267.Crossref, Google Scholar
• Stock JH, Watson MW (2004) Combination forecasts of output growth in a seven-country data set. J. Forecasting 23:405–430.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
• Timmermann A (2006) Forecast combination. Elliott G, Granger CWJ, Timmermann A, eds. Handbook of Economic Forecasting, vol. 1 (Elsevier, New York), 135–196.Crossref, Google Scholar
• Wachter JA (2006) A consumption-based model of the term structure of interest rates. J. Financial Econom. 79(2):365–399.Crossref, Google Scholar
• West KD (1996) Asymptotic inference about predictive ability. Econometrica 64(5):1067–1084.Crossref, Google Scholar
• West KD (2006) Forecast evaluation. Handbook of Economic Forecasting (Elsevier, New York), 100–134.Crossref, Google Scholar
• Zhao F, Zhou G, Zhu X (2021) Unspanned global macro risks in bond returns. Management Sci. 67(12):7825–7843.Link, Google Scholar
• Zhu Y, Timmermann A (2022) Conditional rotation between forecasting models. J. Econometrics 231(2):329–347.Google Scholar
• Zou H, Hastie T (2005) Regularization and variable selection via the elastic net. J. Royal Statist. Soc. Ser. B Statist. Methodology 67(2):301–320.Crossref, Google Scholar