Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.authorDuffee, Gregory R.en_US
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.publisher|aJohns Hopkins Univ., Dep. of Economics |cBaltimore, Md.en_US
dc.relation.ispartofseries|aWorking papers // the Johns Hopkins University, Department of Economics |x577en_US
dc.titleInformation in (and not in) the term structureen_US
dc.typeWorking Paperen_US

Files in This Item:
284.88 kB

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