equilibrium interest rate (r*), trend inflation (π*), and term premia. Similar to Bauer and Rudebusch (2020, AER), π* and r …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian … approach. The natural real rate and trend inflation are cornerstones determining equilibrium yields across maturities and …

A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond …, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a … model in which arbitrageurs face higher funding costs on bonds with credit risk and bond demand shocks induce funding risk …

Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and … inflation risk premia, and increased nominal bond safety premia, suggestive of signaling, portfolio rebalance, and safe asset … Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …