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

between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors …

-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 …

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 …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

I use nominal and real bond risks as new moments to discipline a New Keynesian asset pricing model, where supply shocks … nominal bond risks--as measured by their stock market beta--are a forward-looking indicator of stagflation risks. Calibrating … the model separately for the 1980s and the 2000s, I show that positive nominal bond betas in the 1980s resulted from a …

stylized model to demonstrate that increased bond supply and tightening leverage constraints can explain this change in regime …

We propose a new framework to explain the factor structure in the full cross section of Treasury bond returns. Our …

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