observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …

Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on … interest rate forecasts to construct subjective bond risk premia. Subjective premia are less volatile and not very cyclical …

cyclicality of the bond premium. Self-fulfilling liquidity traps are associated with a counter-cyclical bond premium. Small … liquidity traps arise under a pro-cyclical bond premium and government debt is expansionary. In the data, we find evidence of a … counter-cyclical bond premium and a pro-cyclical supply of safe assets. We propose robust policies that prevent the existence …