This paper provides empirical evidence on predictable shifts in the degree of bond return predictability. Bond returns … multivariate test for equal conditional predictive ability, can be used in real-time to improve out-of-sample bond risk premia …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in … factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model … to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be …

-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … United States. Our empirical results suggest that the current environment of very low nominal sovereign bond yields, is a …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

Are government bond risk premia affected by TV news in addition to the effect of the original event reported? We … news affects bond spreads. A one percentage point increase in the share of Eurozone related news leads to -7.6 basis points … lower bond spreads. Taking the tonality of the news into account paints a more differentiated picture: A one percent higher …

autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

The study examines the predictability of 48 sovereign bond markets based on a strategy of 27,000 technical trading … bond markets is predictable, based on the buy-sell signals generated by trading rules, with the predictability of the … higher when the US tightens its monetary policies or undergoes recession; (iii) two-thirds of sovereign bond markets have a …