Authors: Richard K. Crump and Nikolay Gospodinov
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JEL classification: C15, C58, G10, G12
Authors: Richard K. Crump and Nikolay Gospodinov
We introduce a novel nonparametric bootstrap for the nominal yield curve which is agnostic to the true factor structure. We deconstruct the yield curve into primitive objects, with weak cross-sectional and time-series dependence, which serve as building blocks for resampling the data. We analyze the asymptotic and finite-sample properties of the bootstrap for mimicking salient features of the data and conducting inference on bond return predictability. We demonstrate the applicability of our results to: the “tent shape” in forward rates, regression tests of the expectations hypothesis, the role of trend inflation in expected bond returns, and yield-based forecasts of recessions.