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Macroeconomic cycles and bond return predictability

Stefano Soccorsi Orcid Logo, Katerina Tsakou Orcid Logo

Swansea University Author: Katerina Tsakou Orcid Logo

Abstract

We study the link between the macroeconomy and expected bond returns by dissecting common macroeconomic cycles of different lengths. Two unobservable predictors generate sizeable economic value for investors: an inflation factor maximizing macroeconomic cycles of at least 8 years, and a term spread...

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URI: https://cronfa.swan.ac.uk/Record/cronfa67869
first_indexed 2025-01-30T16:02:05Z
last_indexed 2025-07-15T05:05:29Z
id cronfa67869
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spelling 2025-07-14T14:52:41.8793018 v2 67869 2024-10-01 Macroeconomic cycles and bond return predictability a4f50625221ac95136b3ff39782f2733 0000-0003-1913-858X Katerina Tsakou Katerina Tsakou true false 2024-10-01 CBAE We study the link between the macroeconomy and expected bond returns by dissecting common macroeconomic cycles of different lengths. Two unobservable predictors generate sizeable economic value for investors: an inflation factor maximizing macroeconomic cycles of at least 8 years, and a term spread factor maximizing cycles of 1 to 3 years. The inflation factor captures the stance of monetary policy as return premia increase when the policy rule becomes “hawkish”. The term spread factor reflects investors’ perception of business-cycle risk. Working paper 0 0 0 0001-01-01 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University 2025-07-14T14:52:41.8793018 2024-10-01T13:53:00.2339140 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Stefano Soccorsi https://orcid.org/0000-0002-2309-7955 1 Katerina Tsakou 0000-0003-1913-858X 2
title Macroeconomic cycles and bond return predictability
spellingShingle Macroeconomic cycles and bond return predictability
Katerina Tsakou
title_short Macroeconomic cycles and bond return predictability
title_full Macroeconomic cycles and bond return predictability
title_fullStr Macroeconomic cycles and bond return predictability
title_full_unstemmed Macroeconomic cycles and bond return predictability
title_sort Macroeconomic cycles and bond return predictability
author_id_str_mv a4f50625221ac95136b3ff39782f2733
author_id_fullname_str_mv a4f50625221ac95136b3ff39782f2733_***_Katerina Tsakou
author Katerina Tsakou
author2 Stefano Soccorsi
Katerina Tsakou
format Working paper
institution Swansea University
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
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description We study the link between the macroeconomy and expected bond returns by dissecting common macroeconomic cycles of different lengths. Two unobservable predictors generate sizeable economic value for investors: an inflation factor maximizing macroeconomic cycles of at least 8 years, and a term spread factor maximizing cycles of 1 to 3 years. The inflation factor captures the stance of monetary policy as return premia increase when the policy rule becomes “hawkish”. The term spread factor reflects investors’ perception of business-cycle risk.
published_date 0001-01-01T05:23:56Z
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score 11.089386

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