Unspanned Macroeconomic Factors in the Yield Curve
从美国宏观变量和国债零息收益率中提取共同因子，发现两个宏观经济因子（经济增长和实际利率）能预测国债收益率和超额收益，且这些因子未被收益率截面覆盖。
In this article, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.