observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …

inflation volatility. Using an approximate solution to bond prices, we show that the ZLB model successfully captures interest …

We study drift and cyclical components in U.S. Treasury bonds. We find that bond yields are drifting because they … productivity trends, plus long-term inflation expectations, leads to cyclical deviations of bond prices from their drift that … predict bond returns in- and out-of-sample. These bond cycles can originate from term premia or temporary deviations from …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …

Some key features in the historical dynamics of U.S. Treasury bond yields-a trend in long-term yields, business cycle …

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 …

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. …