This paper explores time series momentum in fixed income securities. Almost all countries in our large sample of 28 advanced and emerging markets have statistically significant positive time series momentum strategy returns. Shorter maturity fixed income securities have greater momentum returns...

Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...