dynamics of U.S. Treasury yields and risk pricing. Our evidence reveals that accounting for fluctuations in both r*t and ð …

macroeconomic sources of risk. From the estimated term premia we recover the term structure of interest rates and examine how it …

unspanned macro risk. …

econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a …Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by … the US Treasury yield curve. The data strongly favor tight restrictions on risk pricing: only level risk is priced, and …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks … ; macroeconomics and financial factors ; Bayesian estimation …