I document that subjective bond risk premia implied by survey forecasts of future Treasury yields are acyclical at the one-year horizon. This is in stark contrast to large countercyclical variation in objective risk premia fitted from in-sample predictive regressions of future bond excess...

While the U.S. Treasury market remains the deepest and most liquid securities market in the world, several episodes of abrupt deterioration in market functioning over recent years have brought the market’s resilience into focus. The adoption of all-to-all trading in the Treasury market could...