estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …

-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal … structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium … inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy …

.S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …The links between real and nominal bond risk premia and macroeconomic dynamics are explored quantitatively in a model …