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 …

We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … 12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …

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 … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …

not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …

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. …

This paper studies the impact of ambiguous information regarding future interest rates on bond prices. A simple bond …-pricing model with ambiguity aversion shows that positive bond uncertainty premiums exist, and the interest rate ambiguity affects … rate ambiguity based on the Survey of Professional Forecasters data significantly predict U.S. Treasury bond returns …

current labor market conditions (as measured by labor market tightness or the job-finding rate) and future bond excess returns …

equity term structure cyclicality and the upward sloping bond term structure …