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 …

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 …

-form expressions for the vector of expected bond returns and for the covariance matrix of bond returns based on a general class of well … heteroskedasticity in bond returns. An empirical application involving a data set with 15 fixed income securities with different …

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to … effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …

We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining … current labor market conditions (as measured by labor market tightness or the job-finding rate) and future bond excess returns …

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 … the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …

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 …

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 …