stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German …Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers …

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a …

and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …

inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates … of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model …

their real and inflation counterparts. We extract these terms from the yield curve of the U.S., Euro Area, U.K., and Japan …

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use … particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly …