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 …

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

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

between the stock's earnings and bond yields. The novelty of our econometric methodology consists in using a vector error … that the stock's earnings yield followed the bond yield in both the short- and long-run, but not the other way around … equilibrium relationship is that a major ``paradigm shift" in the stock valuation theory occurred in the late 1950s. To support …

principles. Empirically, we show that four factors explain the discount bond excess return curve and term structure premium. Cash …

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 …

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 …