Deconstructing the Yield Curve
提出一种对利率真实因子结构无假设的新型非参数自助法，将收益率曲线分解为弱依赖的原始对象，用于重抽样数据并验证债券收益的可预测性，发现趋势通胀而非均衡实际利率具有预测能力。
Abstract We introduce a novel nonparametric bootstrap for the yield curve that is agnostic to the true factor structure of interest rates. We deconstruct the yield curve into primitive objects, with weak cross-sectional and time-series dependence, that serve as building blocks for resampling the data. We analyze the properties of the bootstrap for mimicking salient features of the data and conducting valid inference. We demonstrate the benefits of our general method by revisiting the predictability of bond returns based on slow-moving fundamentals. We find that trend inflation, but not the equilibrium real rate, has predictive power for future bond returns.