component in nominal bond yields. Surprisingly, prior literature finds little predictive power of oil price changes on bond … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other …, we observe insignificant effect on the bond risk premium. A two-sector New Keynesian model shows theoretically that real …

This paper explores bond pricing implications of a stochastic endogenous growth model with imperfect price adjustment … inflation dynamics are crucial for explaining a number of stylized facts in bond markets. Notably, when calibrated to a wide … range of macroeconomic data, the model quantitatively explains the means and volatilities of nominal bond yields. The model …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …