average risk premiums in forward prices. Hence, the standard model is unable to explain rejections of the expectations …-cyclical interest rates, counter-cyclical term spreads, and creates enough volatility in the risk premium to account for the rejections …

coupon securities is not a direct measure of inflation expectations, because it contains inflation risk premium, and because … using data from the (indexed) real bond market, we cannot fully identify the real interest rate from the inflation risk …

specification of the risk-premia. I find that the affine models perform poorly at short forecasting horizons, but perform very well …

curves is an implicit marginal inflation premium. It is demonstrated that under consumption risk-neutrality per Stanley …

genetic algorithms to find these values and reduce the risk of false convergence, showing that stable time series parameters …

. Using a second-order numerical solution to the model, we examine bond and equity returns, the equity risk premium, and the … risk premia and the slope and level of the yield curve. In a world of technology shocks only, increasing the degree of real … rigidities raises risk premia and increasing nominal rigidities reduces risk premia. In a world of monetary policy shocks only …

This paper examines a recent shift in the dynamics of the term structure and interest rate risk. We first use standard … attributed to changes in the pricing of risk associated with a "level" factor. Finally, we suggest a link between the shift in … term structure behavior and changes in the risk and dynamics of the inflation target as perceived by investors …