This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of …

Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We … less than the real factors; (iii) the inflation factors have almost no predictivepower and (iv) the excess bond returns …

"This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of …

changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … forecast performance relative to models using information derived from the current term structure or macroeconomic variables …