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 …

. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically …, bond rates have been persistently negative after the Lehman-Brothers collapse. To explain this paradox, we suggest that, in …, this rise in perceived market fragility alone can explain the drop in both bond rates and price-dividend ratios observed …

inflation. Marginal costs gradually fall after a negative technology shock as the price level increases sluggishly, so the …

inflation. Marginal costs gradually fall after a negative technology shock as the price level increases sluggishly, so the …

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 … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation …

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation …, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do … results show that, before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation …

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 … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation …

inflation volatility. Using an approximate solution to bond prices, we show that the ZLB model successfully captures interest … a recursive utility model which features time-varying latent expected real growth, expected inflation, and stochastic … expected inflation and increases inflation volatility. It leads to large, negative and volatile shadow rates, large and …

macroeconomic shocks can reproduce time-varying stock and bond return correlations. Macroeconomic shocks generate sizable positive …