-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … prices of risk, while structural models with recursive preferences credit it completely to stochastic volatility. We … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by … structural disturbances on output, inflation, and interest rates and to decompose movements in long-term rates into terms …

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 …

This paper estimates expected future real interest rates and inflation rates from observed prices of UK government …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … follow simple time-series processes whose parameters can be estimated from the cross-section of bond prices. The extracted …

This paper considers how the role of inflation as a leading business-cycle indicator affects the pricing of nominal … growth and inflation. We solve for yields under various assumptions on the evolution of investor beliefs. If inflation is bad … spreads are high in times when inflation news are harder to interpret. This is relevant for periods such as the early 1980s …

. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient …, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns …

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and … conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized …