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 …

This paper characterizes time variation in the link between macroeconomic risk and variation in the yield curve. Based …

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the … that long-term growth and volatility capture largely common risk. We then propose a single, long-term, macroeconomic risk … factor which drives out standard long-run risk measures and performs similar to the Fama-French three-factor model in cross …

fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about -2% annually …. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty … is insignificant. Also, equity exposures are negative and hence the corresponding risk premia are positive. I quantify …

other risk factors cannot explain the magnitude of the regulatory spread. We draw broader lessons on how investors impound …

Background: In making investment decisions, asset risk and return are two crucial criteria on which investors base … their decision. Objectives: This paper provides risk and return analysis and compares different traditional and alternative … estate, foreign exchange, cryptocurrencies, renewable energy sources, gold, and oil. Methods/Approach: The risk measures of …