This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of …

Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We … less than the real factors; (iii) the inflation factors have almost no predictivepower and (iv) the excess bond returns …

"This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of …

changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … forecast performance relative to models using information derived from the current term structure or macroeconomic variables …

This paper investigates bond risk premia in the framework of predictive systems. Different from the traditional linear … deliver stronger evidence of predictability than linear predictive models. Furthermore, bond risk premia inferred by …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

I investigate the causal relationship between bond liquidity and stock returns. An improvement in bond liquidity can …). Moreover, average abnormal returns are significantly related to the improvement in bond liquidity and probability of informed …

Considering the Chinese and U.S. bond risk premia jointly, we find that n-year bond excess return can be forecast by n … attitude structures in the U.S. bond market change radically in last decade …