We analyze the role of macroeconomic fundamentals for the term structure of sovereign bond yields. We take a structured … roughly triple the predictive ability of five yield-based factors for bond returns, capturing a large portion of time …

We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … important drivers of stock-bond correlations during the countercyclical period 1965-2000 while output shocks dominated during …