Cieslak, A. and Povala, Pavol (2013) Expected returns in treasury bonds. Working Paper. Social Science Electronic Publishing, Rochester, New York, USA.
Abstract
We decompose Treasury yields into long-horizon inflation expectations and maturity related cycles. Cycles combine the risk premium and the business cycle variation in short rate expectations. From cycles, we construct a measure of expected bond returns. The risk premium factor varies at a frequency higher than the business cycle, and predicts excess bond returns in- and out-of sample. The decomposition captures in a parsimonious way the predictable element of bond returns usually measured with a linear combination of forward rates.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Keyword(s) / Subject(s): | term premia, bond return forecasting factor |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Sarah Hall |
| Date Deposited: | 15 Apr 2014 10:50 |
| Last Modified: | 02 Aug 2023 17:10 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/9600 |
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