-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

Gaussian affine term structure models attribute time-varying bond risk premia to changing risk prices driven by the … conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We … model with recursive preferences. Our structural model is affine and has analytical bond prices making it empirically …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … prices of risk, while structural models with recursive preferences credit it completely to stochastic volatility. We … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that …

equilibrium interest rate (r*), trend inflation (π*), and term premia. Similar to Bauer and Rudebusch (2020, AER), π* and r …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

Gaussian affine term structure models attribute time-varying bond risk premia to changing risk prices driven by the … conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use …