Predicting bond betas using macro-finance variables

Nektarios Aslanidis,Charlotte Christiansen,Andrea Cipollini

Finance Research Letters（2019）

引用 11|浏览5

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摘要

•Predicting bond betas using macro-finance variables.•We find differences in prediction across government, investment grade corporate and high-yield corporate bond betas.•The complete subset regressions (CSR) method performs well in predicting bond betas.•There are important portfolio and policy making implications.

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关键词

Bond betas,Complete subset regressions,Corporate bonds,Government bonds,Macro-finance variables,Model confidence set

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