Título:
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Predicting Bond Betas using Macro-Finance Variables
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Autor/a:
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Aslanidis, Nektarios,; Christiansen, Charlotte; Cipollini, Andrea;
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Otros autores:
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Universitat Rovira i Virgili. Departament d'Economia |
Abstract:
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We predict bond betas conditioning on various macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and
high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of
combining explanatory variables through complete subset regressions (CSR). We consider the
robustness of CSR forecasts across the 1-month, 3-month, and 12-month forecasting horizon.
The CSR method performs well in predicting bond betas.
Keywords: bond betas; complete subset regressions; corporate bonds; government bonds;
macro-finance variables; model confidence set.
JEL Classifications: C22; C53; C55; G12. |
Fecha de creación:
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2018 |
Materias (CDU):
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336 - Finances. Banca. Moneda. Borsa |
Materia(s):
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Bons -- Models matemàtics |
Derechos:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/4.0/ |
Páginas:
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14 p. |
Tipo de documento:
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Documento de trabajo |
Editor:
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Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
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Collection:
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Documents de treball del Departament d'Economia;2018-03
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