The Yield Spread and Bond Return Predictability in Expansions and Recessions

• 成果类型: Article
• 署名作者: Andreasen, Martin M.; Engsted, Tom; Moller, Stig, V; Sander, Magnus
• 署名单位: Aarhus University; CREATES; Danish Finance Institute
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa107
• 发表日期: 2021
• 页码: 2773
• 关键词: term structure; Expected returns; RISK PREMIUMS; rates; sample; shifts

摘要

This paper uncovers that expected excess bond returns display a positive correlation with the slope of the yield curve (i.e., yield spread) in expansions but a negative correlation in recessions. We use a macro-finance term structure model with different market prices of risk in expansions and recessions to show that a very accommodating monetary policy in recessions is a key driver of this switch in return predictability.