Predicting Bond Betas using Macro-Finance Variables

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RECERCAT Home > Universitat Rovira i Virgili > Departament d'Economia > Documents de treball del Departament d'Economia > View document

Use this identifier to quote or link this document: http://hdl.handle.net/2072/306546

dc.contributor	Universitat Rovira i Virgili. Departament d'Economia
dc.contributor.author	Aslanidis, Nektarios,
dc.contributor.author	Christiansen, Charlotte
dc.contributor.author	Cipollini, Andrea
dc.contributor.author
dc.date.accessioned	2018-03-09T13:49:58Z
dc.date.available	2018-03-09T13:49:58Z
dc.date.created	2017-12-07
dc.date.issued	2018
dc.identifier.uri	http://hdl.handle.net/2072/306546
dc.format.extent	14 p.
dc.language.iso	eng
dc.publisher	Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
dc.relation.ispartofseries	Documents de treball del Departament d'Economia;2018-03
dc.rights	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/
dc.source	RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other	Bons -- Models matemàtics
dc.title	Predicting Bond Betas using Macro-Finance Variables
dc.type	info:eu-repo/semantics/workingPaper
dc.subject.udc	336 - Finances. Banca. Moneda. Borsa
dc.embargo.terms	cap
dc.rights.accessLevel	info:eu-repo/semantics/openAccess
dc.description.abstract	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.

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