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Predictability from a macroeconomic ...

Hore, Satadru.

Predictability from a macroeconomic term structure model.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Predictability from a macroeconomic term structure model.
Author:	Hore, Satadru.
Description:	66 p.
Notes:	Adviser: Robert E. McCulloch.
Notes:	Source: Dissertation Abstracts International, Volume: 67-05, Section: A, page: 1849.
Contained By:	Dissertation Abstracts International67-05A.
Subject:	Economics, Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3219524
ISBN:	9780542710452

Predictability from a macroeconomic term structure model.
Hore, Satadru.

Predictability from a macroeconomic term structure model. - 66 p.

Adviser: Robert E. McCulloch.

Thesis (Ph.D.)--The University of Chicago, 2006.

A structural term structure model that considers both cross-sectional fit and time-series of bond returns is considered here. An integrated utility-based model is presented for both real and nominal bond prices, where CPI and real consumption follow a jointly lognormal process with unobserved growth rates. The volatilities of the growth rates are also stochastic which give rise to time-varying risk-premia. A Bayesian approach is taken to consider a mix of information between observed yields and macroeconomic fundamentals. A mixture of these two sets of information provide good predictive power for bond returns and can fit the risk-free rate out of sample. Volatility of expected inflation plays a key role in predicting bond returns and expected inflation is highly significant in determining the risk-free rate.

ISBN: 9780542710452Subjects--Topical Terms:

212585
Economics, Finance.

Predictability from a macroeconomic term structure model.
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245 1 0 $a Predictability from a macroeconomic term structure model.
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500 $a Source: Dissertation Abstracts International, Volume: 67-05, Section: A, page: 1849.
502 $a Thesis (Ph.D.)--The University of Chicago, 2006.
520 # $a A structural term structure model that considers both cross-sectional fit and time-series of bond returns is considered here. An integrated utility-based model is presented for both real and nominal bond prices, where CPI and real consumption follow a jointly lognormal process with unobserved growth rates. The volatilities of the growth rates are also stochastic which give rise to time-varying risk-premia. A Bayesian approach is taken to consider a mix of information between observed yields and macroeconomic fundamentals. A mixture of these two sets of information provide good predictive power for bond returns and can fit the risk-free rate out of sample. Volatility of expected inflation plays a key role in predicting bond returns and expected inflation is highly significant in determining the risk-free rate.
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790 1 0 $a McCulloch, Robert E., $e advisor
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