Unspanned macroeconomic factors in the yield curve (joint with Domenico Giannone and Michele Modugno)

Thursday 7 March 2013, 1.15PM to 2.15pm

Speaker(s): Dr. Laura Coroneo, University of York

Abstract: We show that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.

Paper: Unspanned macroeconomic factors in the yield curve

Location: Economics Staff Room (EC/202)

Admission: Economics Thursday Workshop. For Staff and Postgraduate students