Referierte Aufsätze Web of Science
Christoph Fricke, Lukas Menkhoff
In: Journal of Banking & Finance 58 (2015), S. 80-94
Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel term structure model to decompose bond excess returns into expected excess returns (risk premia) and the innovation part. In order to explore these risk premia and innovations, we complement macro variables by financial condition variables as possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors, whereas innovations seem to be mainly influenced by financial conditions, before and after the financial crisis. Thus, financial conditions, such as financial stress, deserve attention when analyzing bond excess returns.
Topics: Monetary policy
JEL-Classification: E43;G12
Keywords: Financial conditions, Bond excess returns, Term premia
DOI:
http://dx.doi.org/10.1016/j.jbankfin.2015.03.015