Resolving the spanning puzzle in macro-finance term structure models:
Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is unspanned...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
München
CESifo
2015
|
| Schriftenreihe: | CESifo working paper
5187 : Category 7, Monetary policy and international finance |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is unspanned and that the unspanned variation helps forecast excess bond returns and future macroeconomic fluctuations. We resolve this contradiction-or "spanning puzzle"-by reconciling spanned MTSMs with the regression evidence, thus salvaging the previous macro-finance literature. Furthermore, we statistically reject "unspanned" MTSMs, which are an alternative resolution of the spanning puzzle, and show that their knife-edge restrictions are economically unimportant for determining term premia |
| Beschreibung: | 1 Online-Ressource graph. Darst. |
| Format: | . - Acrobat Reader |
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| 520 | 1 | |a Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is unspanned and that the unspanned variation helps forecast excess bond returns and future macroeconomic fluctuations. We resolve this contradiction-or "spanning puzzle"-by reconciling spanned MTSMs with the regression evidence, thus salvaging the previous macro-finance literature. Furthermore, we statistically reject "unspanned" MTSMs, which are an alternative resolution of the spanning puzzle, and show that their knife-edge restrictions are economically unimportant for determining term premia | |
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| spelling | Bauer, Michael D. Verfasser (DE-588)1070506516 aut Resolving the spanning puzzle in macro-finance term structure models Michael D. Bauer ; Glenn D. Rudebusch München CESifo 2015 1 Online-Ressource graph. Darst. txt rdacontent c rdamedia cr rdacarrier CESifo working paper 5187 : Category 7, Monetary policy and international finance Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is unspanned and that the unspanned variation helps forecast excess bond returns and future macroeconomic fluctuations. We resolve this contradiction-or "spanning puzzle"-by reconciling spanned MTSMs with the regression evidence, thus salvaging the previous macro-finance literature. Furthermore, we statistically reject "unspanned" MTSMs, which are an alternative resolution of the spanning puzzle, and show that their knife-edge restrictions are economically unimportant for determining term premia . - Acrobat Reader Rudebusch, Glenn D. 1959- Verfasser (DE-588)111298970 aut CESifo working paper 5187 : Category 7, Monetary policy and international finance (DE-604)BV014083264 5187 https://www.cesifo.org/DocDL/cesifo1_wp5187.pdf Verlag kostenfrei Volltext |
| spellingShingle | Bauer, Michael D. Rudebusch, Glenn D. 1959- Resolving the spanning puzzle in macro-finance term structure models CESifo working paper |
| title | Resolving the spanning puzzle in macro-finance term structure models |
| title_auth | Resolving the spanning puzzle in macro-finance term structure models |
| title_exact_search | Resolving the spanning puzzle in macro-finance term structure models |
| title_full | Resolving the spanning puzzle in macro-finance term structure models Michael D. Bauer ; Glenn D. Rudebusch |
| title_fullStr | Resolving the spanning puzzle in macro-finance term structure models Michael D. Bauer ; Glenn D. Rudebusch |
| title_full_unstemmed | Resolving the spanning puzzle in macro-finance term structure models Michael D. Bauer ; Glenn D. Rudebusch |
| title_short | Resolving the spanning puzzle in macro-finance term structure models |
| title_sort | resolving the spanning puzzle in macro finance term structure models |
| url | https://www.cesifo.org/DocDL/cesifo1_wp5187.pdf |
| volume_link | (DE-604)BV014083264 |
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