Deconstructing the Yield Curve

• 成果类型: Article
• 署名作者: Crump, Richard K.; Gospodinov, Nikolay
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae077
• 发表日期: 2024
• 页码: 381
• 关键词: term structure; RISK PREMIUMS; inference; models; tests; regressions; INFORMATION; inflation; puzzle

摘要

We introduce a novel nonparametric bootstrap for the yield curve that is agnostic to the true factor structure of interest rates. We deconstruct the yield curve into primitive objects, with weak cross-sectional and time-series dependence, that serve as building blocks for resampling the data. We analyze the properties of the bootstrap for mimicking salient features of the data and conducting valid inference. We demonstrate the benefits of our general method by revisiting the predictability of bond returns based on slow-moving fundamentals. We find that trend inflation, but not the equilibrium real rate, has predictive power for future bond returns.