We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation … not influence the long-run real rate or output growth. These nominal shocks have loadings that can change over time. The … 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 … inflation and short-rate shocks. Our baseline model features time-variations in the loadings of structural shocks that are …

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 …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

. This paper analyzes whether and what form of time variation of the leading properties can be found in four major … industrialized countries (France, Germany, the UK and the US). The results are connected with time varying behavior of the monetary …. Time variation of the leading properties seem to exist in all countries under consideration. For the US and Germany they …

We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output … spreads and government bond yields to shed light on the dynamic characteristics of the yield curve. Econometric analysis shows … that: (i) the predictive content of the term spread is not always significant over time and across countries; (ii) the …

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

We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … inflation is counter- or procyclical. We show that the time-varying comovement of growth and inflation has important …