on both future short rates and on future Quantitative Easing (QE) operations, which affect bond supply. Forward guidance … on short rates works through the expectations hypothesis, while forward guidance on QE works through expected future bond …

affects prices of both government and other bonds via "broad" transmission channels, but only government bond prices through … Australia purchased most of the outstanding amount of the targeted government bond, and its yield dislocated from other …

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …

, and an inflation channel for both QE1 and QE2, and an MBS pre-payment channel and a corporate bond default risk channel …

historical bond data …

-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …

This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on … in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models …. Though the return-forecasting factor accounts for more than 99% of the time-variation in expected excess bond returns, we …

predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small …