, 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 …

Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no …-arbitrage term structure models, we show that TIPS yields exceeded risk-free real yields by as much as 100 basis points when TIPS …

estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the …

Real risk-free interest rates have trended down over the past 30 years. Puzzlingly in light of this decline, (1) the … that rising market power, rising unmeasured intangibles, and rising risk premia, play a crucial role, over and above the …

We analyze the risk-return trade-off in the US Treasury market using a term-structure model that features volatility … risk premia over the 1966-2018 period. While interest-rate risk is the main driver of such positive relation, macro risk … plays a non-trivial role, and its omission leads to unstable estimates of the trade-off. Notably, macro risk contributes to …