with a 50 basis point rise in the inflation indexed bond return differential in favor of the foreign country and an 50 …

to justify indexation …

bonds varies predictably over time. We also find strong evidence that the spread between the nominal and the real bond risk … premium, or the break-even inflation risk premium, also varies over time. We argue that the time variation in real bond risk … the variability in the nominal bond risk premia reflects a changing inflation risk premium. We estimate significant time …

finding is that the one-period bond market matters, but less than expected, to valuing obligations. Finally, our model lets us …

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 …

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

We explore a variety of models and approaches to bond pricing, including those associated with Vasicek, Cox …

produce similar estimates of bond option values. This result is established for simple option forms with known closed …