We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these two uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a...

We show that bond risk premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a...

In the data, we show that bond risk premia increase at times of high uncertainty about expected inflation and decrease with high uncertainty about expected growth; the magnitude of bond return predictability by these two uncertainty measures is similar to that found based on multiple yield...