I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the … that long-term growth and volatility capture largely common risk. We then propose a single, long-term, macroeconomic risk … factor which drives out standard long-run risk measures and performs similar to the Fama-French three-factor model in cross …