Steven Sabol

Capital Markets Data

2 Streeter Ave

Salem, NH 03079

United States

SCHOLARLY PAPERS

12

DOWNLOADS

663

SSRN CITATIONS

0

CROSSREF CITATIONS

9

Scholarly Papers (12)

1.

The Layman's Summary of the Expected Bond Return Literature

Number of pages: 35 Posted: 13 Jan 2016 Last Revised: 21 Jan 2016
Steven Sabol
Capital Markets Data
Downloads 125 (286,329)

Abstract:

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income gap, acm, mortgage duration, expected returns, treasury returns, yield curve, inflation risk premium, liquidity risk premium

2.

A Note on Forecasting Treasury Returns with GDP

Number of pages: 16 Posted: 21 Nov 2015
Steven Sabol
Capital Markets Data
Downloads 99 (336,504)
Citation 2

Abstract:

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Bond risk premia, bond returns, Cieslak and Povala, returns

3.

Decomposing Expected Bond Returns

Number of pages: 10 Posted: 16 Dec 2015
Steven Sabol
Capital Markets Data
Downloads 94 (347,821)
Citation 1

Abstract:

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Bond returns,expected returns, bond risk premia, inflation risk premium, liquidity risk premia

4.

Stylized Facts about the Level of Inflation and Short and Long-Term Interest Rates

Number of pages: 9 Posted: 04 Dec 2015
Steven Sabol
Capital Markets Data
Downloads 59 (451,299)

Abstract:

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inflation, interest rates, yield curve, volatility, bonds, OECD, real rates

5.

A Note on Using Macro Variables to Forecast Bond Returns

Number of pages: 13 Posted: 16 Dec 2015
Steven Sabol
Capital Markets Data
Downloads 50 (486,235)
Citation 2

Abstract:

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expected returns, bond risk premia, bond returns, forecasting

6.

The Ins and Outs of Labor Market Forecasting

Number of pages: 38 Posted: 20 Nov 2015
Steven Sabol and Reid Calamita
Capital Markets Data and James Madison University
Downloads 46 (503,438)
Citation 1

Abstract:

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labor market, forecasting, gross flows, transition rates

7.

The Monetary Policy Risk Premium and Expected Bond Returns

Number of pages: 18 Posted: 26 Dec 2015
Steven Sabol
Capital Markets Data
Downloads 42 (521,590)
Citation 1

Abstract:

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expected returns, bond risk premia, bond returns, forecasting, monetary policy, federal reserve

8.

Revisiting Two Old Bond Topics: The Government Bond Dealer and New-Seasoned Bond Spreads

Number of pages: 80 Posted: 05 Jan 2018 Last Revised: 17 Jan 2018
Steven Sabol
Capital Markets Data
Downloads 36 (551,347)
Citation 1

Abstract:

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Primary dealers, Treasury Issuance, Treasury spline errors

9.

CMD-MD: A Monthly Database for Macro-financial Research

Number of pages: 19 Posted: 29 May 2019 Last Revised: 26 Jun 2019
Steven Sabol
Capital Markets Data
Downloads 34 (561,951)

Abstract:

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Capital Markets, Foreign, Data, Database, Expected Bond Returns, Primary Dealers, FRED MD, Treasuries, Issuance, Net Positions

10.

What are Treasury On-Off Spreads Actually?

Number of pages: 16 Posted: 07 Aug 2018 Last Revised: 13 Aug 2018
Steven Sabol
Capital Markets Data
Downloads 32 (572,882)

Abstract:

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treasury fitting errors, liquidity, inflation risk

11.

From Fraser to Fred: Imports and Exports by Region and Country (1920 - 2017)

Number of pages: 17 Posted: 24 Sep 2018
Steven Sabol
Capital Markets Data
Downloads 24 (622,763)

Abstract:

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Imports, Exports, Historical, U.S. Trade, International, Datasets

12.

The History of Foreign Transactions in U.S. Securities Markets

Number of pages: 13 Posted: 24 Sep 2018
Steven Sabol
Capital Markets Data
Downloads 22 (636,686)
Citation 1

Abstract:

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TIC, International, Capital Markets, Data-set, Treasuries, Corporate Bonds, Federal Agency Debt, Financial Flows