not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

. I use the twelve years or so of now available data to study bond risk premia. As previously documented for the US, a … highly correlated with domestic inflation and US bond risk premia, and whose shocks affect marginal utility in the model …

A bond's expected return (EBR) is the ex-ante internal rate of return of the bond's expected future cash flows, whereas … a bond's yield to maturity (YTM) is the internal rate of return of its promised future cash flows. In this paper we … the model to U.S. corporate bond data, using rating transition matrices and industry-specific recovery rates. We show that …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the …-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation … forecasts appears a much less important driver of bond premia. …

This paper investigates bond risk premia in the framework of predictive systems. Different from the traditional linear … deliver stronger evidence of predictability than linear predictive models. Furthermore, bond risk premia inferred by …