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 …

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 …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … consumption growth, inflation, and dividend growth in conjunction with Epstein-Zin and Weil recursive preferences. Historically in … the US, inflation has signalled low future consumption growth. The representative agent therefore dislikes positive …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

yields have strong predictive power for bond risk premia, in contrast to the factors based on yield levels. We also provide … insights into the impact this has on the added value of macro data for bond risk premia predictions and the recent conclusion …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and … uncertainty about inflation and output as additional potential factors. Even the best-fitting economic factor model fits the …

This paper makes a step towards understanding the term-structure forecasts of bond risk premia. Two economically … interpretable variables, the level of nominal forward rates, and one-year-ahead expected inflation extracted from the forwards (IE … factor) are enough to summarize virtually all of predictive power for excess bond returns contained in the factor of Cochrane …

characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of … 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 …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …