Predicting bond return predictability

Publikation: Working paperForskning

Standard

Predicting bond return predictability. / Borup, Daniel; Eriksen, Jonas Nygaard; Kjær, Mads Markvart; Thyrsgaard, Martin.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2020.

Publikation: Working paperForskning

Harvard

Borup, D, Eriksen, JN, Kjær, MM & Thyrsgaard, M 2020 'Predicting bond return predictability' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Borup, D., Eriksen, J. N., Kjær, M. M., & Thyrsgaard, M. (2020). Predicting bond return predictability. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-09

CBE

Borup D, Eriksen JN, Kjær MM, Thyrsgaard M. 2020. Predicting bond return predictability. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Borup, Daniel o.a.. Predicting bond return predictability. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal nr. 2020-09). 2020., 112 s.

Vancouver

Borup D, Eriksen JN, Kjær MM, Thyrsgaard M. Predicting bond return predictability. Aarhus: Institut for Økonomi, Aarhus Universitet. 2020 jul.

Author

Borup, Daniel ; Eriksen, Jonas Nygaard ; Kjær, Mads Markvart ; Thyrsgaard, Martin. / Predicting bond return predictability. Aarhus : Institut for Økonomi, Aarhus Universitet, 2020. (CREATES Research Papers; Nr. 2020-09).

Bibtex

@techreport{d9ef2c3900db44e2a7e0f4f7cb93c3b9,
title = "Predicting bond return predictability",
abstract = "We document predictable shifts in bond return predictability. Bond returns are predictable in high (low) economic activity (uncertainty) states, implying that the expectations hypothesis of the term structure holds periodically. These predictable performance differences, established using a new multivariate test for equal conditional predictive ability, can be used in real-time to improve out-of-sample bond risk premia estimates and investors{\textquoteright} economic value by means of a novel dynamic forecast combination scheme. Consistent with standard financial theory, the resulting forecasts are strongly countercyclical and peaks in recessions. The empirical findings are explained within a non-linear term structure model.",
keywords = "Bond excess returns, Forecasting, State-dependencies, Multivariate test, Equal conditional predictive ability",
author = "Daniel Borup and Eriksen, {Jonas Nygaard} and Kj{\ae}r, {Mads Markvart} and Martin Thyrsgaard",
year = "2020",
month = jul,
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2020-09",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Predicting bond return predictability

AU - Borup, Daniel

AU - Eriksen, Jonas Nygaard

AU - Kjær, Mads Markvart

AU - Thyrsgaard, Martin

PY - 2020/7

Y1 - 2020/7

N2 - We document predictable shifts in bond return predictability. Bond returns are predictable in high (low) economic activity (uncertainty) states, implying that the expectations hypothesis of the term structure holds periodically. These predictable performance differences, established using a new multivariate test for equal conditional predictive ability, can be used in real-time to improve out-of-sample bond risk premia estimates and investors’ economic value by means of a novel dynamic forecast combination scheme. Consistent with standard financial theory, the resulting forecasts are strongly countercyclical and peaks in recessions. The empirical findings are explained within a non-linear term structure model.

AB - We document predictable shifts in bond return predictability. Bond returns are predictable in high (low) economic activity (uncertainty) states, implying that the expectations hypothesis of the term structure holds periodically. These predictable performance differences, established using a new multivariate test for equal conditional predictive ability, can be used in real-time to improve out-of-sample bond risk premia estimates and investors’ economic value by means of a novel dynamic forecast combination scheme. Consistent with standard financial theory, the resulting forecasts are strongly countercyclical and peaks in recessions. The empirical findings are explained within a non-linear term structure model.

KW - Bond excess returns

KW - Forecasting

KW - State-dependencies

KW - Multivariate test

KW - Equal conditional predictive ability

M3 - Working paper

T3 - CREATES Research Papers

BT - Predicting bond return predictability

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -