Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

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

-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 …

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 …

predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small …

an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn …

historical bond data …

on both future short rates and on future Quantitative Easing (QE) operations, which affect bond supply. Forward guidance … on short rates works through the expectations hypothesis, while forward guidance on QE works through expected future bond …

We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected … inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in …

common factors. The single state variables forecast excess bond returns at maturities from two to five years, and do so …Empirical evidence suggests that excess bond returns are forecastable by financial indicators such as forward spreads … not tie the forecastable variation in excess bond returns to underlying macroeconomic fundamentals, as would be expected …