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 …

We examine term structure theories by using a novel approach. We form bond investment strategies based on different … indeed form the basis of a successful bond strategy that outperforms an unbiased expectation inspired passive bond buy and … if one uses information from the forward curve or the term structure as a guide to adjusting bond portfolios in response …

bond markets. A robust agent who worries about misspecified bond premia follows a min-max expected shortfall criterion to …

-free rate, and the yield curve. In particular, the bond price decreases with the average belief and, in most situations, tends … belief dispersion also leads to higher bond volatility. In addition, the model nests the CIR model with time …

bond markets. A robust agent who worries about misspecified bond premia follows a min-max expected shortfall criterion to …

This paper investigates the optimal bond portfolio choice of an investor in a model that captures both the failure of … bond returns. I estimate a daily multifactor affine term structure model with a large set of unrevised macroeconomic data … in which one of the state variables is unspanned by the contemporaneous yield curve. By characterizing the optimal bond …