Arbeitspapier
Yield curve factors, term structure volatility, and bond risk premia
We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors and factor volatilities follow highly persistent processes. Using the extracted factors to explain one-year-ahead bond excess returns we observe that the slope and cur- vature yield factors contain the same explanatory power as the return-forecasting factor recently proposed by Cochrane and Piazzesi (2005). Moreover, we identify slope and curvature risk as important additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con- nected to variables reflecting macroeconomic activity, inflation, monetary policy and employment growth. It is shown that the extracted yield curve components have long-term prediction power for macroeconomic fundamentals.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2008,053
- Klassifikation
-
Wirtschaft
- Thema
-
Term structure modelling
yield curve risk
stochastic volatility
factor models
macroeconomic fundamentals
Rendite
Zinsstruktur
Volatilität
Stochastischer Prozess
Faktorenanalyse
Zinsstrukturtheorie
Makroökonomischer Einfluss
Theorie
Öffentliche Anleihe
Risikoprämie
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hautsch, Nikolaus
Ou, Yangguoyi
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hautsch, Nikolaus
- Ou, Yangguoyi
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2008
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