Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25296 
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dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorOu, Yangguoyien
dc.date.accessioned2008-11-07-
dc.date.accessioned2009-07-23T15:04:05Z-
dc.date.available2009-07-23T15:04:05Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,053en
dc.subject.jelC5en
dc.subject.jelE4en
dc.subject.jelG1en
dc.subject.ddc330en
dc.subject.keywordTerm structure modellingen
dc.subject.keywordyield curve risken
dc.subject.keywordstochastic volatilityen
dc.subject.keywordfactor modelsen
dc.subject.keywordmacroeconomic fundamentalsen
dc.subject.stwRenditeen
dc.subject.stwZinsstrukturen
dc.subject.stwVolatilitäten
dc.subject.stwStochastischer Prozessen
dc.subject.stwFaktorenanalyseen
dc.subject.stwZinsstrukturtheorieen
dc.subject.stwMakroökonomischer Einflussen
dc.subject.stwTheorieen
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwRisikoprämieen
dc.subject.stwUSAen
dc.titleYield curve factors, term structure volatility, and bond risk premia-
dc.type|aWorking Paperen
dc.identifier.ppn584571739en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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