Replication data for: Bond Risk Premia

Name	File Type	Size	Last Modified
LICENSE.txt	text/plain	14.6 KB	12/02/2019 07:48:AM
bondprice.dat.dat	text/plain	39 KB	12/02/2019 07:48:AM
corr.m	text/plain	54 bytes	12/02/2019 07:48:AM
dorest.m	text/plain	7.3 KB	12/02/2019 07:48:AM
fbmc.m	text/plain	31.7 KB	12/02/2019 07:48:AM
fbmc_out.txt	text/plain	71.5 KB	12/02/2019 07:48:AM
fbmc_out1011.txt	text/plain	10.2 KB	12/02/2019 07:48:AM
fbregslatest.m	text/plain	83.5 KB	12/02/2019 07:48:AM
monte12results.txt	text/plain	14.5 KB	12/02/2019 07:48:AM
monteehresults.txt	text/plain	5.3 KB	12/02/2019 07:48:AM

Project Citation:

Project Description

Summary: We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent-shaped linear combination of forward rates, predicts excess returns on one- to five-year maturity bonds with R2 up to 0.44. The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the return-forecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results.

Scope of Project

JEL Classification:
      E43 Interest Rates: Determination, Term Structure, and Effects
      E47 Money and Interest Rates: Forecasting and Simulation: Models and Applications
      G12 Asset Pricing; Trading Volume; Bond Interest Rates

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Published Versions

V1 [2019-12-02]

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