This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … forecast performance relative to models using information derived from the current term structure or macroeconomic variables …

This paper investigates bond risk premia in the framework of predictive systems. Different from the traditional linear … deliver stronger evidence of predictability than linear predictive models. Furthermore, bond risk premia inferred by …