bonds varies predictably over time. We also find strong evidence that the spread between the nominal and the real bond risk … premium, or the break-even inflation risk premium, also varies over time. We argue that the time variation in real bond risk … the variability in the nominal bond risk premia reflects a changing inflation risk premium. We estimate significant time …

to justify indexation …

with a 50 basis point rise in the inflation indexed bond return differential in favor of the foreign country and an 50 …

portfolios at different speeds. To understand its implications for bond valuation, we develop a general equilibrium model which … model predicts a novel overshooting pattern: when the central bank unwinds its bond purchase, slow adjustment by long …-term investors requires liquidity traders to absorb the imbalance, who demand a higher risk premium that creates excessive bond price …

finding is that the one-period bond market matters, but less than expected, to valuing obligations. Finally, our model lets us …

This article provides a stochastic valuation framework for bond and stock returns that builds on three different …