-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 …

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

-style models and models in which the state variables are the stochastic long-run mean and volatility of r. Third, we compute …

This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on … in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models …. Though the return-forecasting factor accounts for more than 99% of the time-variation in expected excess bond returns, we …

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

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 …