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 …

generating process. The low-dimensional two-factor long-run risk model captures the intuition that an ambiguity averse agent … of the expectations hypothesis, the positive yield spread, and the predictability of bond risk premia …

risk premia. If there is a source of heterogeneity in the belief structure of the economy then differences in beliefs can … of risk so that a single factor proxy for disagreement forecasts bond returns with ℛ2 between 15%- 20%. Secondly, by … allowing for a time-varying price of risk proportional to disagreement, we substantially improve the forecasting power of a …

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