using time-varying risk premia. Although the quest for the fundamental macroeconomic explanations of these risk premia is …

, we set up a new data set for 38 emerging and advanced economies which contains quarterly time-series observations for … conditions and b) the time-horizon under consideration. Spending cuts in times of fiscal stress raise default premia, but lower …

This paper uses a structural time-series analysis to analyse the properties of ex-ante real interest rates of the five …

We examine several continuous-time term-structure models, in which the short rate is subject to discrete shifts. Our …

minus growth and with lower future output growth. Motivated by this connection between the time series of nominal bond … maturity, and time series variation in expected bond returns. Finally, a structural dynamic asset pricing model with the …Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal …

that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs …