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

A bond's expected return (EBR) is the ex-ante internal rate of return of the bond's expected future cash flows, whereas … a bond's yield to maturity (YTM) is the internal rate of return of its promised future cash flows. In this paper we … the model to U.S. corporate bond data, using rating transition matrices and industry-specific recovery rates. We show that …

We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining … current labor market conditions (as measured by labor market tightness or the job-finding rate) and future bond excess returns …

measures of equity market tail risk and the state of the macroeconomy predict bond returns beyond the level or slope of the …

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation … bond yields via the term premium. …

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the …-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation … forecasts appears a much less important driver of bond premia. …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation …