We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … inflation is counter- or procyclical. We show that the time-varying comovement of growth and inflation has important …

factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model … to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be … overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in …

curve dynamics in SOEs than domestic news itself. We decompose the response SOEs bond yields into the break even inflation … small open economies (SOEs) bond yields. We show that US macro news are significantly more important in explaining yield … rates and real rates, and show that US news disproportionately explains changes to SOEs break even inflation rates. We also …

contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which … accommodate structural breaks, this paper estimates the impact of demand on US bond yields in the conundrum period. This impact is … shown to have been everywhere significantly negative. The fact that our model fully explains the bond yield conundrum gives …

I filter expected inflation, unemployment and log GDP Hodrick-Prescott filtered series in order to extrapolate … the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and … incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse … periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent …

dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and … incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse … periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent …

significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …