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 … significantly and positively future monthly Treasury bond excess returns. This forecastability remains significant controlling for …

inflation volatility. Using an approximate solution to bond prices, we show that the ZLB model successfully captures interest … volatile shadow risk premia, and small and volatile lift-off probabilities …

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation … bond yields via the term premium. …

We present a theory in which the key driver of short-term debt issued by the financial sector is the portfolio demand … prediction of the theory is that safe and liquid government debt should crowd out financial sector lending financed by short …