instabilities in the linkages between bond risk premia and macroeconomic factors …

In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for … rate. Our findings highlight endogenous co-movement of bond risk premia and exchange rates through the portfolio choice of …

Bond yields can be decomposed into expected short rates and term premiums. We directly measure the former using all … available U.S. professional forecasts and obtain the latter as the difference between bond yields and survey-based expected … short rates. While the behavior of nominal and real short rate expectations is consistent with standard macroeconomic theory …

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 …

Cochrane and Piazzesi (2005) show that (i) lagged forward rates help predict bond returns and that (ii) modern … model combines one moving-average with the usual three Gaussian risk factors, closely matches the bond risk premium measured … from predictive regressions and provides better forecasts of bond returns. Our framework nests Duffee (2011) models with a …

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to … the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by …

information for forecasting bond risk premia in a macro-finance term structure model from the perspective of a bond investor. I … forecaster's objective. Incorporating macro information generates significant gains in forecasting bond risk premia relative to …

This study examines the joint evolution of risk-neutral stock index and bond yield volatilities by using the Chicago …