Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest … changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond … risks, but only when risk premia change endogenously as predicted by the model …