Some key features in the historical dynamics of U.S. Treasury bond yields – a trend in long-term yields, business cycle …

In this paper we try to uncover the determinants of the 10-year Greek bond yield in both pre- and post-crisis period … more significant role as determinants of the 10-year Greek bond yield during the crisis than had before and second, during … speculation on the yield. These results are in line with other empirical studies and shed line to the motion of bond yield in an …

equity term structure cyclicality and the upward sloping bond term structure …

Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns …

information for forecasting bond risk premia in a macro-finance term structure model from the perspective of a bond investor. I … forecaster's objective. Incorporating macro information generates significant gains in forecasting bond risk premia relative to …

This paper studies the impact of ambiguous information regarding future interest rates on bond prices. A simple bond …-pricing model with ambiguity aversion shows that positive bond uncertainty premiums exist, and the interest rate ambiguity affects … rate ambiguity based on the Survey of Professional Forecasters data significantly predict U.S. Treasury bond returns …

Cochrane and Piazzesi (2005) show that (i) lagged forward rates help predict bond returns and that (ii) modern … model combines one moving-average with the usual three Gaussian risk factors, closely matches the bond risk premium measured … from predictive regressions and provides better forecasts of bond returns. Our framework nests Duffee (2011) models with a …

current labor market conditions (as measured by labor market tightness or the job-finding rate) and future bond excess returns …

statistical evidence in favor of bond return predictability. NN forecasts based on macroeconomic and yield information translate …