In this paper, we test for bond excess return predictability in 25 Organisation for Economic Co-operation and Development countries, using a set of 12 predictor variables, including macroeconomic, financial, and commodity-based indicators. The novelty of our approach is that we employ both time-series and panel data models that accommodate key data features, namely, persistency, endogeneity, heteroscedasticity, and cross-sectional dependence. We note two key findings. The first is that commodity variables, both oil spot and futures prices, and the world commodity price index predict bond excess returns. Our second finding confirms that macroeconomic variables (the term spread and T-bill yield) are successful predictors of bond excess returns.

在本文中，我们使用一组12个预测变量，包括宏观经济，金融和基于商品的指标，在​​25个经济合作与发展组织国家中测试了债券超额收益的可预测性。我们方法的新颖之处在于，我们同时采用了时间序列和面板数据模型，以适应关键数据特征，即持久性，内生性，异方差和截面依赖性。我们注意到两个主要发现。首先是商品变量，包括石油现货价格和期货价格，以及世界商品价格指数都可以预测债券的超额收益。我们的第二个发现证实，宏观经济变量（期限利差和国库券收益率）是债券超额收益的成功预测指标。