Cochrane, J. H., & Piazzesi, M. (2008). Decomposing the Yield Curve


We construct and affine model that incorporates bond risk premia. By understanding risk premia, we are able to use a lot of information from well-measured risk-neutral dynamics to characterise real expectations. We use the model to decompose the yield curve into expected interest rate and risk premium components. We characterise real the interesting term structure of risk premia – a forward rate reflects expected excess returns many years into the future and current slope and curvature factors forecast future expected returns even though they do not forecast current returns.

Link to replication code: Here.

Macroeconomic Data repository


This repository is dedicated to downloading and cleaning various macroeconomic datasets, focusing on the US and the Euro Zone.

Link to the repository: Here.