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dc.contributor.authorDuffee, Gregory R.en_US
dc.date.accessioned2011-01-28en_US
dc.date.accessioned2011-09-27T15:21:18Z-
dc.date.available2011-09-27T15:21:18Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/49885-
dc.description.abstractStandard approaches to building and estimating dynamic term structure models rely on the assumption that yields can serve as the factors. However, the assumption is neither theoretically necessary nor empirically supported. This paper documents that almost half of the variation in bond risk premia cannot be detected using the cross section of yields. Fluctuations in this hidden component have strong forecast power for both future short-term interest rates and excess bond returns. They are also negatively correlated with aggregate economic activity, but macroeconomic variables explain only a small fraction of variation in the hidden factor.en_US
dc.language.isoengen_US
dc.publisherJohns Hopkins Univ., Dep. of Economics Baltimore, Md.en_US
dc.relation.ispartofseriesWorking papers // the Johns Hopkins University, Department of Economics 577en_US
dc.subject.ddc330en_US
dc.titleInformation in (and not in) the term structureen_US
dc.typeWorking Paperen_US
dc.identifier.ppn644824832en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Department of Economics, The Johns Hopkins University

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