The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt … issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real … short-term rate, and the term spread predict excess bond returns. Second, these same variables explain the long-term share …

The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt … issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real … short-term rate, and the term spread predict excess bond returns. Second, these same variables explain the long-term share …

fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is …This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the … stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect …