Predicting bond betas using macro-finance variables
(2019) In Finance Research Letters 29. p.193-199- Abstract
We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables through complete subset regressions (CSR). We consider the robustness of CSR forecasts across the 1-month, 3-month, and 12-month forecasting horizons. The CSR method performs well in predicting bond betas.
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https://lup.lub.lu.se/record/4b143ad7-4882-45ad-83c0-5f3e8d6b8b4c
- author
- Aslanidis, Nektarios ; Christiansen, Charlotte LU and Cipollini, Andrea
- organization
- publishing date
- 2019
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Bond betas, Complete subset regressions, Corporate bonds, Government bonds, Macro-finance variables, Model confidence set
- in
- Finance Research Letters
- volume
- 29
- pages
- 193 - 199
- publisher
- Elsevier
- external identifiers
-
- scopus:85051543474
- ISSN
- 1544-6123
- DOI
- 10.1016/j.frl.2018.07.007
- language
- English
- LU publication?
- yes
- id
- 4b143ad7-4882-45ad-83c0-5f3e8d6b8b4c
- date added to LUP
- 2018-09-13 13:03:16
- date last changed
- 2022-04-25 17:11:18
@article{4b143ad7-4882-45ad-83c0-5f3e8d6b8b4c, abstract = {{<p>We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables through complete subset regressions (CSR). We consider the robustness of CSR forecasts across the 1-month, 3-month, and 12-month forecasting horizons. The CSR method performs well in predicting bond betas.</p>}}, author = {{Aslanidis, Nektarios and Christiansen, Charlotte and Cipollini, Andrea}}, issn = {{1544-6123}}, keywords = {{Bond betas; Complete subset regressions; Corporate bonds; Government bonds; Macro-finance variables; Model confidence set}}, language = {{eng}}, pages = {{193--199}}, publisher = {{Elsevier}}, series = {{Finance Research Letters}}, title = {{Predicting bond betas using macro-finance variables}}, url = {{http://dx.doi.org/10.1016/j.frl.2018.07.007}}, doi = {{10.1016/j.frl.2018.07.007}}, volume = {{29}}, year = {{2019}}, }