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 … forecasts appears a much less important driver of bond premia. …

*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …