A0289
Title: Extracting macro factors in bond risk premia using a supervised method
Authors: Hiroyuki Kawakatsu - Dublin City University (Ireland) [presenting]
Abstract: The aim is to re-examine whether yield factors for bond risk premia span macroeconomic variables. Rather than commonly used macroeconomic variables, such as output growth and inflation, the space spanned by a large number of macroeconomic variables is considered. A small number of factors extracted from a supervised method is shown to be priced and not spanned by other well-known and commonly used factors in the literature.
