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 …

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 …

standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … significantly and positively future monthly Treasury bond excess returns. This forecastability remains significant controlling for …

bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of …-movements in forward term premia in global bond markets …