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 …

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

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 …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

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 …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

Studying the recent experience of Brazil the paper explains how default risk is at the centre of the mechanism through …