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. …

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 …

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 …

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 …

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 …

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

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond …

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 … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …