We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining … current labor market conditions (as measured by labor market tightness or the job-finding rate) and future bond excess returns …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …

This paper explores bond pricing implications of a stochastic endogenous growth model with imperfect price adjustment … inflation dynamics are crucial for explaining a number of stylized facts in bond markets. Notably, when calibrated to a wide … range of macroeconomic data, the model quantitatively explains the means and volatilities of nominal bond yields. The model …