ffine property, we compute the nominal and inflation-indexed bond prices explicitly. We derive no-arbitrage drift conditions …This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a …

We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … inflation is counter- or procyclical. We show that the time-varying comovement of growth and inflation has important …

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 …

Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it … reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty …. Despite the popularity of bond ladders as a strategy for managing investments in fixed-income securities, there is surprising …

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 …

The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the …

I filter expected inflation, unemployment and log GDP Hodrick-Prescott filtered series in order to extrapolate … the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …