stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

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

Some key features in the historical dynamics of U.S. Treasury bond yields-a trend in long-term yields, business cycle …

related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is …

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …

A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond …, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a … model in which arbitrageurs face higher funding costs on bonds with credit risk and bond demand shocks induce funding risk …