risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional … mean of output growth. We also document real risk premia that turn negative in the post-crisis period, and a non …-negligible variance risk premium …

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia …

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency …