, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

multivariate test for equal conditional predictive ability, can be used in real-time to improve out-of-sample bond risk premia …This paper provides empirical evidence on predictable shifts in the degree of bond return predictability. Bond returns …

This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government … bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market … in real time. The paper shows that long-term JGB nominal yields can be modeled using the short-term interest rate on …

Using data on government bond yields in Germany and the United States, we show that overseas unspanned factors … for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as … term structure models that omit information about foreign bond yields are therefore likely to be misspecified …

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly … captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield …

This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The … industrial production. John Maynard Keynes claimed that government bond yields move in lockstep with the short-term interest rate …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing equilibrium asset … pricing models. This paper presents a new equilibrium model to explain the joint historical dynamics of equity and bond yields … (and their yield spreads). Equity/bond yields movements are mainly driven by subjective dividend/GDP growth expectation …

Starting from the discrete-time a ne term structure model by Dai, Le & Singleton (2006), this paper proposes a Radon … attractive features of an affine relation between yields and factors, while allowing for nonlinear and non-normal time …-series dynamics. Empirically the ft of the discrete-time 3-factor a ne model is found to be substantially improved by the inclusion of …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation for …