Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the …-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation …

shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other … bond yield, breakeven inflation, and nominal bond yield respond differently to oil supply and demand shocks …Compared with stocks, bonds are more directly affected by fluctuations in oil prices through the expected inflation …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

This paper econometrically models the dynamics of Swedish government bond (SGB) yields. It examines whether the short … variables, such as consumer price inflation, the growth of industrial production, the stock price index, the exchange rate of … reaffirm John Maynard Keynes's view that the central bank's monetary policy affects long-term government bond yields through …

properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. Both premia are induced …The links between real and nominal bond risk premia and macroeconomic dynamics are explored analytically and … real and nominal risk premia through endogenous inflation. The estimated model captures macroeconomic and yield curve …

that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German …Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers …

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals - by means of labor-share variation - the component of inflation risk which is correlated with fundamentals. A simple … general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor-share, as …

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals -- by means of labor-share variation -- the component of inflation risk which is correlated with fundamentals. A … simple general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …