A Note on Using Macro Variables to Forecast Bond Returns

13 Pages Posted: 16 Dec 2015

Date Written: December 16, 2015

Abstract

This brief note builds on Sabol (2015) and details a direct way to forecast bond returns from fundamental predictions of the level of interest rates.

Keywords: expected returns, bond risk premia, bond returns, forecasting

Suggested Citation

Sabol, Steven, A Note on Using Macro Variables to Forecast Bond Returns (December 16, 2015). Available at SSRN: https://ssrn.com/abstract=2704204 or http://dx.doi.org/10.2139/ssrn.2704204

Steven Sabol (Contact Author)

Capital Markets Data ( email )

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Salem, NH 03079
United States
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2484622412 (Fax)

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