further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is … model in forecasting one-month-ahead yield curve. We apply BMA to forecast the government bond yield change and indicate BMA …This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government …

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 …

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 predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … forecast performance relative to models using information derived from the current term structure or macroeconomic variables …

information for forecasting bond risk premia in a macro-finance term structure model from the perspective of a bond investor. I … forecaster's objective. Incorporating macro information generates significant gains in forecasting bond risk premia relative to … yield curve information at long forecast horizons, especially when allowing for time-varying combination weight. These gains …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

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 …

well as many patterns of the term-structures of real and nominal bond yields. The model is robust to many properties of …

In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market … bond returns. Using survey data on macroeconomic forecasts of fundamentals spanning interest rates, real aggregates and … of risk so that a single factor proxy for disagreement forecasts bond returns with ℛ2 between 15%- 20%. Secondly, by …