Bond Returns and Market Expectations

A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds rate are among the best predictors for the future course of monetary policy. We show how this information can be exploited to produce accurate forecasts of bond excess returns and to...

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Veröffentlicht in:	Journal of financial econometrics 2014-10, Vol.12 (4), p.708-729
Hauptverfasser:	Altavilla, C., Giacomini, R., Costantini, R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Abnormal returns Bond markets Economic models Forecasting techniques Investment policy Monetary policy Studies
Online-Zugang:	Volltext
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