Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …

instabilities in the linkages between bond risk premia and macroeconomic factors …

In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for … rate. Our findings highlight endogenous co-movement of bond risk premia and exchange rates through the portfolio choice of …

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 …

In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market … bond returns. Using survey data on macroeconomic forecasts of fundamentals spanning interest rates, real aggregates and … of risk so that a single factor proxy for disagreement forecasts bond returns with ℛ2 between 15%- 20%. Secondly, by …

expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk …

. The approach can reconcile the inherent conflict between issuers and investors in green bond markets where one basis point … of spread premium gained for the issuer of a bond is one basis point lost for the investor. We illustrate that when green … our understanding of bond spreads' statistical properties becomes important: using the Unibail-Rodamco (ULFP) bond curve …