This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the …-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation … forecasts appears a much less important driver of bond premia. …

observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …

patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it … largely explains why short rates and yield spreads predict bond and currency returns. The model also creates the downward … expectations framework. Consistent with the model, we find that variables that predict bond and currency returns also predict …

patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it … largely explains why short rates and yield spreads predict bond and currency returns. The model also creates the downward … expectations framework. Consistent with the model, we find that variables that predict bond and currency returns also predict …

*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …