Expected Business Conditions and Bond Risk Premia
In this article, I study the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey of Professional Forecasters. I show that expected business conditions consistently affect excess bond returns and that the inclusion of expect...
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| Veröffentlicht in: | Journal of financial and quantitative analysis 2017-08, Vol.52 (4), p.1667-1703 |
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| container_end_page | 1703 |
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| container_issue | 4 |
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| container_title | Journal of financial and quantitative analysis |
| container_volume | 52 |
| creator | Eriksen, Jonas N. |
| description | In this article, I study the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey of Professional Forecasters. I show that expected business conditions consistently affect excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve forecast performance relative to models using information derived from the current term structure or macroeconomic variables. The results are confirmed in a real-time out-of-sample exercise, where the predictive accuracy of the models is evaluated both statistically and from the perspective of a mean-variance investor that trades in the bond market. |
| doi_str_mv | 10.1017/S0022109017000369 |
| format | Article |
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| identifier | ISSN: 0022-1090 |
| ispartof | Journal of financial and quantitative analysis, 2017-08, Vol.52 (4), p.1667-1703 |
| issn | 0022-1090 1756-6916 |
| language | eng |
| recordid | cdi_proquest_journals_2787225270 |
| source | Business Source Complete; JSTOR Archive Collection A-Z Listing; Cambridge University Press Journals Complete |
| subjects | Econometrics Investments Macroeconomics Quantitative analysis Real time Securities prices Time series Yield curve |
| title | Expected Business Conditions and Bond Risk Premia |
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