Bond Pricing and the Macroeconomy

Chapter Chapter 13 in Handbook of the Economics of Finance, 2013, vol. 2, pp 907-967 from Elsevier

Abstract: This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond returns. There are two overarching problems. First, much of the variation over time in economic activity is orthogonal to variation in nominal yields, and vice versa. Second, although mean excess returns to nominal Treasury bonds are positive, these returns do not appear to positively covary with risks that require compensation, at least according to standard asset-pricing models.

Keywords: Term structure; Affine models; Macro-finance; No-arbitrage (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/B9780444594068000135
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Bond pricing and the macroeconomy (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finchp:2-b-907-967

DOI: 10.1016/B978-0-44-459406-8.00013-5

Access Statistics for this chapter

More chapters in Handbook of the Economics of Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().