We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation … bond yields via the term premium. …

secular and cyclical components that both drive bond yields. We impose the economic restriction that expected bond returns are … show that the expectation components in bond yields exhibit similar impulse-response functions across structural shocks but …

We analyze the role of macroeconomic fundamentals for the term structure of sovereign bond yields. We take a structured … roughly triple the predictive ability of five yield-based factors for bond returns, capturing a large portion of time …

This paper explores bond pricing implications of a stochastic endogenous growth model with imperfect price adjustment … inflation dynamics are crucial for explaining a number of stylized facts in bond markets. Notably, when calibrated to a wide … range of macroeconomic data, the model quantitatively explains the means and volatilities of nominal bond yields. The model …

discount and U.S. industrial production growth rates forecast up to 25% of the dollar return variation at the one-year horizon …