obtained using high-frequency data with model estimates using monthly data, we show that bond yields move after announcements …

obtained using high-frequency data with model estimates using monthly data, we show that bond yields move after announcements …

In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market … bond returns. Using survey data on macroeconomic forecasts of fundamentals spanning interest rates, real aggregates and … of risk so that a single factor proxy for disagreement forecasts bond returns with ℛ2 between 15%- 20%. Secondly, by …

expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors and … factor volatilities follow highly persistent processes. Using the extracted factors to explain one-year-ahead bond excess …

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 … both statistically and from the perspective of a mean-variance investor that trades in the bond market …