component in nominal bond yields. Surprisingly, prior literature finds little predictive power of oil price changes on bond … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other …, we observe insignificant effect on the bond risk premium. A two-sector New Keynesian model shows theoretically that real …

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly … predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in … factors. Finally, correlations between international bond risk premia have increased over time, suggesting an increase in …

The endeavor to understand bond returns and the term structure of interest rates has generated an extensive literature … perspective. This chapter reviews the relevant literature while also providing empirical evidence on international bond risk …

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 …

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …

capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by …