naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the … facts about the predictability of excess returns, and their business-cycle dependence. We also test the risk … of excess returns than a risk-premium explanation …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a … large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous … overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …

multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation … the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …

This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By …

likelihood implies larger bond risk premia. These arguments together imply that \emph{VVR} should positively predict bond excess …