Empirical evidence suggests that excess bond returns are forecastable by financial indicators such as forward spreads … not tie the forecastable variation in excess bond returns to underlying macroeconomic fundamentals, as would be expected … analysis for large datasets to investigate possible empirical linkages between forecastable variation in excess bond returns …

-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 …

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 …

on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that … much of the time-variation in excess bond returns accrues at times of important macroeconomic data releases …

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus … growth and with lower future output growth in the short term. Because of this new nexus between stock and bond returns, a …

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 …

would be the case if the central" tendency was constant. However, since longer-maturity bond prices incorporate information …" about the central tendency, longer-maturity bond yields can be used to predict future short-term" rate movements. We develop …