Bouri, ElieGupta, RanganMajumdar, AnandamayeeSubramaniam, Sowmya2021-04-132021-10Bouri, E., Gupta, R., Majumdar, A. et al. 2021, 'Time-varying risk aversion and forecastability of the US term structure of interest rates', Finance Research Letters, vol. 42, art. 101924, pp. 1-8.1544-6123 (print)1544-6131 (online)10.1016/j.frl.2021.101924http://hdl.handle.net/2263/79408We analyse the out-of-sample forecasting ability of a time-varying metric of risk aversion for the entire term structure of US Treasury securities as reflected by the three latent factors, level, slope and curvature. Daily data cover the out-of-sample period 22nd June 1988 to 3rd September 2020 within a quantiles-based framework. The results show statistically significant forecasting gains emanating from the inclusion of risk aversion for the tails of the conditional distributions of the quantiles-based models of the level, slope and curvature factors. The forecasting gains are shown in lower mean squared forecast errors at horizons of one-day, one-week, and one-month-ahead.en© 2020 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 42, art. 101924, pp. 1-8, 2021. doi : 10.1016/j.frl.2021.101924.Yield curve factorsRisk aversionOut-of-sample forecastsPostprint Article