I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … expectations of real economic activity, uncertainty about real GDP growth, and downside and upside risks in housing starts and the …

's inflation target. Accounting dispersed information reduces the magnitude and volatility of risk premia relative to full …

in the latter period. Moreover, bond premium, volatility and the overall resolution of uncertainty decrease on these …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Keynes … mainly through the short-term interest rate. Investors' psychology, herding behavior in financial markets, and uncertainty …

reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit … risk reduction we find rather mild effects from portfolio rebalancing for all countries. …

regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia …

Returns to currency carry and momentum are compensations for the risk of global interest rate uncertainty (IRU), with … risk exposures explaining 92% of their cross-sectional return variations. The unified explanation stems from its impact on … power is not driven by existing measures of uncertainty or intermediary constraints …