거시경제변수를 이용한한국 국채 초과수익률 분석

It is well-known that the excess returns of bonds are time-varying. However, it is in debate what factors determine excess returns. In this study, we examine the predictability for excess returns using the forward rates and macro-economic variables. In detail, we use bond spot rates and three different types of macro-economic variables that are statistics representing current economic conditions and survey data from business participants and professional economists representing future expected economic conditions. We conduct principal component analysis for each group of macro-economic variables, and a few principal components are used to examine whether the macro-economic variables have predictability for excess returns. The main findings of this study can be summarized as follows. First, the forward rate factor that can be obtained by a linear combination of forward rates representing the information on the yield curve has predictability for the excess returns. However, it is rejected that the forward rates are the only factor to explain excess returns and it means the information on the yield curve is not enough to explain future bond excess returns. Second, the macro-economic variables representing current economic conditions and survey data from economists have no predictability for bond excess returns. Third, the survey data from consumers and producers have predictability for long-term bond excess returns, different from the survey data from economists. Additionally, the survey data from consumers and producers have predictability for future real GDP growth. Based on these results, we conclude that excess returns can be predicted by not only the information reflected in the yield curve but also expectations for future market conditions.