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 study examines the impacts of the US inflation rate on the bond prices of G7 countries across different maturities … using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model … estimation. The testing results indicate that the inflation rate has a negative effect on bond returns across different …

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 …

This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor … relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios …-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping …