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 …

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

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 …

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

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

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 …

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 …