Template-Type: ReDIF-Paper 1.0
Author-Name: Stefano Soccorsi
Author-Name-First: Stefano
Author-Name-Last: Soccorsi
Author-Name: Katerina Tsakou
Author-Name-First: Katerina
Author-Name-Last: Tsakou
Title: Macroeconomic Cycles and Bond Return Predictability
Abstract: We study the link between the macroeconomy and expected bond returns by dissecting common macroeconomic cycles of different lengths. Two unobservable predictors generate sizeable economic value for investors: an inflation factor maximizing macroeconomic cycles of at least 8 years, and a term spread factor maximizing cycles of 1 to 3 years. The inflation factor captures the stance of monetary policy as return premia increase when the policy rule becomes "hawkish". The term spread factor reflects investors' perception of business-cycle risk.
Creation-Date: 2026
Number: 441200688
Classification-JEL: 
Keywords: 
Handle: RePEc:lan:wpaper:441200688