Expected Returns in Treasury Bonds

• 成果类型: Article
• 署名作者: Cieslak, Anna; Povala, Pavol
• 署名单位: Northwestern University; University of London; Birkbeck University London
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv032
• 发表日期: 2015
• 页码: 2859
• 关键词: nominal interest-rates; MONETARY-POLICY RULES; term-structure; macroeconomic stability; stock returns; inflation; INFORMATION; movements; sample; tests

摘要

We study risk premium in U.S. Treasury bonds. We decompose Treasury yields into inflation expectations and maturity-specific interest-rate cycles, which we define as variation in yields orthogonal to expected inflation. The short-maturity cycle captures the real short-rate dynamics. Jointly with expected inflation, it comprises the expectations hypothesis (EH) term in the yield curve. Controlling for the EH term, we extract a measure of risk-premium variation from yields. The risk-premium factor forecasts excess bond returns in and out of sample and subsumes the common bond return predictor obtained as a linear combination of forward rates.