Are bond returns predictable with real-time macro data?

• Main Authors: HUANG, Dashan, JIANG, Fuwei, LI, Kunpeng, TONG, Guoshi, ZHOU, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Bond return predictability; Real-time macro data; Scaled sufficient forecasting; Machine learning; Econometrics; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7368; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8367/viewcontent/BondReturns_RT_MacroData_sv.pdf
• Institution: Singapore Management University

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic proper...