I provide evidence on the existence of unspanned macro risk. I investigate the usefulness of unspanned macro information for forecasting bond risk premia in a macro-finance term structure model from the perspective of a bond investor. I account for model uncertainty by combining forecasts with...

The goal of this paper is to analyze the effect of OTC-DVP (over the counter delivery versus payment) fixed income market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward interest rates. For the purpose of the analysis Slovenian...

We advocate the use of excess returns rather than yields or log prices in analysing the risk neutral dynamics of the term structure. We show that under standard assumptions, excess returns are affine in the risk neutral innovations in the factors. This framework has several important advantages....

We examine return premia associated with the level, slope, and curvature of the yield curve over time and across countries from a novel perspective by borrowing pricing factors from other asset classes. Measures of value, momentum, and carry, when applied to bonds, provide a rich description of...

This paper exploits information from the variance-ratios of macroeconomic variables to infer about the short and long-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also reveals -- by means of labor-share variation --...

This paper offers an explanation for the properties of the nominal term structure of interest rates and time-varying bond risk premia based on a model with rare consumption disaster risk. In the model, consumption is subject to large negative jumps (disasters), and these disasters are sometimes...

This paper presents a present-biased general equilibrium model that explains many features of bond behavior. Present-biased investors increase (decrease) short-term (long-term) hedge demands compared to standard preferences. Hence, present bias drives up (down) short-term bond prices (yields)...

We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its risk premium components, including a certainty...

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

TRACE bond returns are meaningfully different from ICE bond return data used by banks, asset managers, and hedge funds. The core results of Kelly at al. (forthcoming) are robust to instead using WRDS/TRACE data