In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial crises. In contrast …, long-term bond risk premia feature cyclical swings. We empirically examine the predictability of the market variance risk … premium – a proxy of economic uncertainty – for bond risk premia and we show the strong predictive power for the one month …

This paper studies whether the evident statistical predictability of bond risk premia translates into economic gains … for investors. We propose a novel estimation strategy for a ne term structure models that jointly fits yields and bond … excess returns with high regressions R^2s and high forecast accuracy but cannot outperform the expectations hypothesis out …

yields have strong predictive power for bond risk premia, in contrast to the factors based on yield levels. We also provide … insights into the impact this has on the added value of macro data for bond risk premia predictions and the recent conclusion …

find additional, very small factors that forecast equally small differences between long term bond returns, and hence …This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on … in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …