-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

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 …

multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation … the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …

, which is observationally distinct from the risk premium of affine yield curve models. The ambiguity premium can be large … even in the simplest logutility model and is non zero also for stochastic factors that have a zero risk premium. A …

estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the …