I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

consistent with market participants using futures to manage inventory risk. We identify eight macroeconomic news surprises (Cons …

yields or forward rates. An important implication of these findings is that the cyclical behavior of estimated risk premia in … forecasts of excess bond returns. Without the macro factors, risk premia appear virtually acyclical, whereas with the estimated … factors risk premia have a marked countercyclical component, consistent with theories that imply investors must be compensated …

and yield spreads, a violation of the expectations hypothesis based on constant risk premia. But existing evidence does … if the forecastability were attributable to time variation in risk premia. We use the methodology of dynamic factor …

and yield spreads, a violation of the expectations hypothesis based on constant risk premia. But existing evidence does … if the forecastability were attributable to time variation in risk premia. We use the methodology of dynamic factor …