Global evidence on unspanned macro risks in dynamic term structure models
利用22个国家的数据，检验宏观风险是否被收益率曲线覆盖，发现宏观信息（尤其二阶矩）对债券超额收益有额外解释力，但样本内拟合和期限溢价预测无差异，且对新兴市场长期债券有最强预测力。
Using a large cross-section of 22 countries, we analyze whether macro risks are spanned by the yield curve. Our tests show that macro information, both first and second moments, provides additional explanatory power for bond excess returns beyond yield factors, contrary to the spanned model implications. However, when considering in-sample fit and term premium predictions, distinguishing between spanned and unspanned term structure models makes no difference. These findings are robust across the cross-section of countries. We find the strongest out-of-sample predictive power for second moments of macro information for long-term emerging market bonds.