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Predicting bond betas using macro-finance variables

Aslanidis, Nektarios ; Christiansen, Charlotte LU and Cipollini, Andrea (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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author
; and
organization
publishing date
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}},
}