거시경제에 대한 이질적 기대가 채권초과수익률에 미치는 영향

This study examines the implications of macroeconomic disagreement on yield volatility and bond excess returns based on survey data on inflation forecasts and real GDP growth forecasts. The empirical results are as follows. First, forward rate factor(Cochrane and Piazessi(2005)) having predictability for average bond excess returns has predictability for bond yield variances and excess returns for all maturities. Next, the first principal component of the macroeconomic disagreement has no predictability for bond yields and bond excess returns, but the second principal component has predictability for short-term maturity bond yields and short-term bond excess returns. Lastly, the third principal component has predictability for mid-term maturity bond yield variance and short-term bond excess returns. Based on these results, we conclude that bond prices include information on long-term market volatility and include some information on disagreement of macroeconomic forecasts. However, other information on disagreement in macro-economy is not revealed in the yields and may include information not only on the uncertainty for future market conditions but also on the market price of risk.