-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to … effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly …

Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case …

for this approach stems from the empirical evidence that a NIG process provides a better fit of bond returns than those …

The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt … issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real … short-term rate, and the term spread predict excess bond returns. Second, these same variables explain the long-term share …

, purchasing a bond at 80 would trigger an 8-point tax liability. The paper develops a rigorous approach to the pricing of munis by … duration of a 10-year taxable bond is roughly 8.5 years, while that of a 10-year muni can exceed 13 years. Tax …

bond rate to be positively correlated with this empirical measure over 1984Q1 to 2004Q3. The positive correlation suggests … and hence may account for the presence of inflation risk premiums in bond yields. The results also indicate that, in … recent years, the correlation of the long bond rate with short-term inflation uncertainty has weakened, which reflects …

characterizes the behavior of government bond yields during and after these crashes. The most important determinant of changes in … bond yields appears to be inflationary expectations. When inflation is high and rising at the time of a currency crash …, bond yields tend to rise. Otherwise - and in every currency crash since 1985 - bond yields tend to fall. Over the past 20 …