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

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …

-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 …

changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond …

useful for forecasting bond returns. We show that a significant decline in issuer quality is a more reliable signal of credit …-variation in expected corporate bond returns …

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