exist multiple pricing kernels that produce the same bond prices, but a unique pricing kernel equal to the marginal utility …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the …

model to postwar US data and compare consumption and portfolio rules with and without bond indexation, portfolio constraints … investors to shorten their bond portfolios and increase their precautionary savings. This has serious welfare costs for …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by …

This paper tests several competing models of municipal bond market equilibrium. It analyzes the influence of changes in …

historical bond data …

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 …

implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …