This paper studies the impact of ambiguous information regarding future interest rates on bond prices. A simple bond …-pricing model with ambiguity aversion shows that positive bond uncertainty premiums exist, and the interest rate ambiguity affects … the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …

This paper assesses the effect of banking regulation on bond yields. The costs for banks associated with capital … approximating the part of the spread that is induced by regulatory capital costs. Using German bond price data, we find that the …

yields have strong predictive power for bond risk premia, in contrast to the factors based on yield levels. We also provide … insights into the impact this has on the added value of macro data for bond risk premia predictions and the recent conclusion …

We study drift and cyclical components in U.S. Treasury bonds. We find that bond yields are drifting because they … productivity trends, plus long-term inflation expectations, leads to cyclical deviations of bond prices from their drift that … predict bond returns in- and out-of-sample. These bond cycles can originate from term premia or temporary deviations from …

In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market … bond returns. Using survey data on macroeconomic forecasts of fundamentals spanning interest rates, real aggregates and … of risk so that a single factor proxy for disagreement forecasts bond returns with ℛ2 between 15%- 20%. Secondly, by …

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to … effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly …

expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk …

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

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