I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces … time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign …-flow) shocks produce comovement of bond and stock returns and positive term premium. The relative strength of these two mechanisms …

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of … bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …-movements in forward term premia in global bond markets …

not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …

changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond …