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 …

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 …

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 … both statistically and from the perspective of a mean-variance investor that trades in the bond market …

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

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 …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield … curves and the violation of the expectations hypothesis. Instead of relying on the inflation risk premium, the ambiguity …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal … about inflation and growth. Ambiguity can help resolve the puzzling fact that upward-sloping yield curves have persisted … despite positive inflation shocks changing from negative to positive news about growth in the last twenty years. Investors …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …