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 …

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 …