Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …

and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …