Innerhalb des Euroraums haben sich in den letzten Jahren erhebliche Zinsspreads entwickelt. Der Autor vertritt die Auffassung, dass diese Spreads die Entwicklung der wirtschaftlichen Fundamentaldaten nachzeichnen. Auf diese Fundamentaldaten und entsprechend auch auf die Spreads habe die Finanz-...

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part. In order to explore these risk premia and innovations,...

Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...