My da|ra Login

Detailed view

metadata language: English

Replication data for: Bond Risk Premia

Version
V0
Resource Type
Dataset
Creator
  • Cochrane, John H.
  • Piazzesi, Monika
Publication Date
2005-03-01
Description
  • Abstract

    We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent-shaped linear combination of forward rates, predicts excess returns on one- to five-year maturity bonds with R2 up to 0.44. The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the return-forecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results.
Availability
Download
Relations
  • Is supplement to
    DOI: 10.1257/0002828053828581 (Text)
Publications
  • Cochrane, John H, and Monika Piazzesi. “Bond Risk Premia.” American Economic Review 95, no. 1 (February 2005): 138–60. https://doi.org/10.1257/0002828053828581.
    • ID: 10.1257/0002828053828581 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-06

Cochrane, John H.; Piazzesi, Monika (2005): Replication data for: Bond Risk Premia. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116041