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. (JEL G10, G12, C15, C58)

中文翻译：

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解构收益率曲线


我们为收益率曲线引入了一种新的非参数自举，它与利率的真实要素结构无关。我们将收益率曲线解构为具有较弱横截面和时间序列依赖性的原始对象，这些对象作为数据重新采样的构建块。我们分析了 bootstrap 的特性，以模拟数据的显着特征并进行有效的推理。我们通过重新审视基于缓慢变化的基本面的债券回报的可预测性来证明我们通用方法的好处。我们发现，趋势通胀（而不是均衡实际利率）对未来债券回报具有预测能力。（JEL G10、G12、C15、C58）