find additional, very small factors that forecast equally small differences between long term bond returns, and hence …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 …

We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected … inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in …

expost returns by a forecast error that is uncorrelated with current information. In this paper, we describe how small … the presence of additional trends in excess foreign exchange and bond returns. We also estimate the additional trend …

-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 develops an affine model of the term structure of interest rates in which bond yields are driven by … through which monetary policy affects risk premia and the economy, risk premia affect monetary policy and the economy, and the … economy affects monetary policy and risk premia …

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus … growth and with lower future output growth in the short term. Because of this new nexus between stock and bond returns, a …

The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was … expected inflation, and the ""nominal-real covariance"" of inflation and the real interest rate with the real economy. The last … of these state variables enables the model to ...fit the changing covariance of bond and stock returns. Log bond yields …