Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "12369"
  #_source: array:26 [
    "id" => "12369"
    "slug" => "real-time-bayesian-learning-and-bond-return-predictability"
    "yearMonth" => "2022-09"
    "year" => "2022"
    "title" => "Real-time Bayesian learning and bond return predictability"
    "description" => "WAN, R., FULOP, A. et LI, J. (2022). Real-time Bayesian learning and bond return predictability. <i>Journal of Econometrics</i>, 230(1), pp. 114-130."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "FULOP Andras"
        "bid" => "B00072302"
        "slug" => "fulop-andras"
      ]
      1 => array:1 [
        "name" => "WAN Runqing"
      ]
      2 => array:1 [
        "name" => "LI Junye"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:6 [
      0 => "Bayesian learning"
      1 => "Bond return predictability"
      2 => "Non-overlapping bond returns"
      3 => "Parameter uncertainty"
      4 => "Model combinations"
      5 => "Real-time macroeconomic information"
    ]
    "updatedAt" => "2022-09-12 15:55:47"
    "publicationUrl" => "https://doi.org/10.1016/j.jeconom.2020.04.052"
    "publicationInfo" => array:3 [
      "pages" => "114-130"
      "volume" => "230"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real-time Bayesian investor who learns about parameters, hidden states, and predictive models over time. We find some statistical evidence using information contained in forward rates. However, such statistical predictability can hardly generate any economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability from fully-revised macroeconomic data vanishes when real-time macroeconomic information is used. We also show that highly levered investments in bonds can improve short-run bond return predictability."
      "en" => "The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real-time Bayesian investor who learns about parameters, hidden states, and predictive models over time. We find some statistical evidence using information contained in forward rates. However, such statistical predictability can hardly generate any economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability from fully-revised macroeconomic data vanishes when real-time macroeconomic information is used. We also show that highly levered investments in bonds can improve short-run bond return predictability."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-21T17:21:43.000Z"
    "docTitle" => "Real-time Bayesian learning and bond return predictability"
    "docSurtitle" => "Articles"
    "authorNames" => "<a href="/cv/fulop-andras">FULOP Andras</a>, WAN Runqing, LI Junye"
    "docDescription" => "<span class="document-property-authors">FULOP Andras, WAN Runqing, LI Junye</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2022</span>"
    "keywordList" => "<a href="#">Bayesian learning</a>, <a href="#">Bond return predictability</a>, <a href="#">Non-overlapping bond returns</a>, <a href="#">Parameter uncertainty</a>, <a href="#">Model combinations</a>, <a href="#">Real-time macroeconomic information</a>"
    "docPreview" => "<b>Real-time Bayesian learning and bond return predictability</b><br><span>2022-09 | Articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.jeconom.2020.04.052" target="_blank">Real-time Bayesian learning and bond return predictability</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.748368
  +"parent": null
}