We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the … Joslin et al. (2014). This is done for a total of 15 countries. Bond risk premia of net oil-exporting countries show a … one would expect. Among the unspanned factors, global economic activity explains most of the variability in bond risk …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

This paper revisits the study of time-varying excess bond returns in international bond markets. Using newly available … the predictability of excess bond returns …

component in nominal bond yields. Surprisingly, prior literature finds little predictive power of oil price changes on bond … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other …, we observe insignificant effect on the bond risk premium. A two-sector New Keynesian model shows theoretically that real …

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly … predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in … factors. Finally, correlations between international bond risk premia have increased over time, suggesting an increase in …

The endeavor to understand bond returns and the term structure of interest rates has generated an extensive literature … perspective. This chapter reviews the relevant literature while also providing empirical evidence on international bond risk …

*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … both statistically and from the perspective of a mean-variance investor that trades in the bond market …

This paper makes a step towards understanding the term-structure forecasts of bond risk premia. Two economically … factor) are enough to summarize virtually all of predictive power for excess bond returns contained in the factor of Cochrane … the financial crisis. This explains weaker predictability of excess bond returns in the subsamples that cover the most …

There is no consensus on whether macroeconomic fundamentals have any predictive power for bond risk premia, either … unconditionally or conditionally over bond yields. Using Adaptive Group LASSO, a machine learning algorithm, we are able to construct … a new, parsimonious macro variable that is weakly correlated with bond yields yet has significant predictive power for …