curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We … changes in macroeconomic and monetary variables. These results differ from an earlier study on bond yields by Ang and Piazzesi …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

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 … both statistically and from the perspective of a mean-variance investor that trades in the bond market …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …