Hans Dewachter
Leonardo Iania
Marco Lyrio

information in the yield curve: a macro-finance approach (replication data)

We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied risk premiums account for up to 40% of the variability of one- and two-year excess returns. Using the model to decompose yield spreads into an expectations and a term premium component, we find that, although this decomposition does not seem important to forecast economic activity, it is crucial to forecast inflation for most forecasting horizons.

Data and Resources

Suggested Citation

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco (2014): INFORMATION IN THE YIELD CURVE: A MACRO-FINANCE APPROACH (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022321.0712934710