observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …

policy implications for the e17.5 trillion European pension and insurance industries: long maturity bond yields seem …

Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that … Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and …

This paper shows that the scope for bond yields to fall below zero is strictly limited by market expectations about how … commitment to keeping its policy rate above a given level under all circumstances, then bond yields must be higher than that … level. This result holds true even in a model in which central banks are able to depress the term premium in bond yields …

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 …

UK government bond yields rise significantly in a two-day window before Monetary Policy Committee (MPC) meetings, with … coincide with issuance of UK government bonds. Analysing granular transaction-level data surrounding bond issuance, we find …

This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The … industrial production. John Maynard Keynes claimed that government bond yields move in lockstep with the short-term interest rate …