Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/6313
Type: Artigo Científico
Title: Information in the yield curve: A macro-finance approach
Author: Dewachter, Hans
Iania, Leonardo
Lyrio, Marco Túlio Pereira
Publication Date: 2014
Abstract: We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied risk premiums account for up to 40% of the variability of one- and two-year excess returns. Using the model to decompose yield spreads into an expectations and a term premium component, we find that, although this decomposition does not seem important to forecast economic activity, it is crucial to forecast inflation for most forecasting horizons.
Language: Inglês
CNPq Area: Ciências Exatas e da Terra
Ciências Sociais Aplicadas
URI: https://onlinelibrary.wiley.com/doi/full/10.1002/jae.2305
Copyright: O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.
Appears in Collections:Coleção de Artigos Científicos

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