EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/25296
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHautsch, Nikolausen_US
dc.contributor.authorOu, Yangguoyien_US
dc.date.accessioned2008-11-07en_US
dc.date.accessioned2009-07-23T15:04:05Z-
dc.date.available2009-07-23T15:04:05Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25296-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,053en_US
dc.subject.jelC5en_US
dc.subject.jelE4en_US
dc.subject.jelG1en_US
dc.subject.ddc330en_US
dc.subject.keywordTerm structure modellingen_US
dc.subject.keywordyield curve risken_US
dc.subject.keywordstochastic volatilityen_US
dc.subject.keywordfactor modelsen_US
dc.subject.keywordmacroeconomic fundamentalsen_US
dc.subject.stwRenditeen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwZinsstrukturtheorieen_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwTheorieen_US
dc.subject.stwÖffentliche Anleiheen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwUSAen_US
dc.titleYield curve factors, term structure volatility, and bond risk premiaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn584571739en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
584571739.PDF737.05 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.