their investments between a preferred stock equivalent to a perpetual bond and multiple bonds of selected maturities. Among … those, a zero-coupon bond provides a constant rate of return, while the prices of the coupon-paying bonds are determined at …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

data from 26 countries, the yield spread between 30-year and 10-year government bond yields is negatively related to the … destabilizing impact on bond markets that reverses once rules are changed …

filters out noise and provide evidence that it predicts bond risk premia well. This result holds in developed and emerging … that oil price increases are associated with subsequent higher bond returns. Besides, we demonstrate that not all oil price … shocks are alike: Although oil demand and supply shocks have opposite implications for economic activity and bond risk premia …