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 …

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …

A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond …, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a … model in which arbitrageurs face higher funding costs on bonds with credit risk and bond demand shocks induce funding risk …

Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and … inflation risk premia, and increased nominal bond safety premia, suggestive of signaling, portfolio rebalance, and safe asset … Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …