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Robust Bond Risk Premia / Michael D. Bauer, James D. Hamilton.
- Format:
- Book
- Author/Creator:
- Bauer, Michael D.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w23480.
- NBER working paper series no. w23480
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a novel bootstrap procedure specifically designed to test the spanning hypothesis. We revisit the analysis in six published studies and find that the evidence against the spanning hypothesis is much weaker than it originally appeared. Our results pose a serious challenge to the prevailing consensus.
- Notes:
- Print version record
- June 2017.
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