I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation … the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …

, which is observationally distinct from the risk premium of affine yield curve models. The ambiguity premium can be large … even in the simplest logutility model and is non zero also for stochastic factors that have a zero risk premium. A …

risk. The second stylized fact is that long-term yields are dominated by a level factor, which requires persistence in the … specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain the … more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with …

risk. The second stylized fact is that long-term yields are dominated by a level factor, which requires persistence in the … specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain the … more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with …

is used to derive expected payments, dependent on idiosyncratic risk and unrelated to interest rates. The expectations … are used to define a measure of price sensitivity to credit risk perceptions, or credit duration, improving the ambiguity …