Using data on government bond yields in Germany and the United States, we show that overseas unspanned factors … out of sample. Shocks to overseas unspanned factors have large and persistent effects on domestic yield curves. Dynamic …

autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …