Komponente für einen möglichen Ausfall der Anleihe und eine Komponente, die als Residualspread bezeichnet wird. Zur Erklärung …

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

Long-horizon interest rates in the major international bond markets fell sharply during 2004 and 2005, at the same time …