contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which … accommodate structural breaks, this paper estimates the impact of demand on US bond yields in the conundrum period. This impact is … shown to have been everywhere significantly negative. The fact that our model fully explains the bond yield conundrum gives …

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

principles. Empirically, we show that four factors explain the discount bond excess return curve and term structure premium. Cash …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …