curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model … to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be … overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in …