Expected returns in treasury bonds
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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