Gaussian affine term structure models attribute time-varying bond risk premia to changing risk prices driven by the … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use … particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model … to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be … overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …