Linearity and Stationarity of G7 Government Bond Returns

Bond Supply and Excess Bond Returns

We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the mo...

Sustainable investing and bond returns

Fiscal Imbalances and Bond Returns

Our goal is to understand the response of bond returns to the government’s fiscal imbalances. We offer a framework that defines fiscal imbalances and links them to returns on government bonds. We show that our measure of fiscal imbalances contains significant information about future returns on the government’s debt portfolio up to two years. We also show that fiscal imbalances have significant...

Costationarity and stationarity tests for stock index returns

We present a new analysis of the FTSE and SP500 stock index log return series and provide evidence that they are not stationary. We then discover two time-varying linear combinations of the FTSE and SP500 series that are stationary and hence declare the two series to be costationary. The stationary combinations are themselves worthy of study using classical time series methods. The existence of...

Macroeconomic announcement effects on the covariance structure of government bond returns

This paper concerns the effects of macroeconomic announcements on the covariance structure of US government bond returns for six different maturities; the study shows that the conditional variances, covariances, and correlation coefficients are significantly greater on announcement days. On non-announcement days, the correlation coefficients are relatively large and are greater the closer the b...