Mind the (Convergence) Gap: Bond Predictability Strikes Back!
研究发现自然利率与当前货币政策立场之差（收敛缺口）能显著提升债券超额收益预测的R²，恢复被远期利率遗漏的反周期风险溢价变化，并在样本外及其他国家保持稳健。
We show that the difference between the natural rate of interest and the current level of monetary policy stance, which we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting regressions of bond excess returns significantly raises the R 2 , and restores countercyclical variation in bond risk premia that is otherwise missed by forward rates. Consistent with the argument that CG captures the effect of real imbalances on the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains robust out-of-sample and in countries other than the United States. Furthermore, its inclusion brings significant economic gains in the context of dynamic conditional asset allocation. This paper was accepted by Gustavo Manso, finance.