We examine return premia associated with the level, slope, and curvature of the yield curve over time and across …, when applied to bonds, provide a rich description of bond return premia: subsuming pricing information from the yield curve …'s first three principal components, as well as priced factors unspanned by yield information, such as macroeconomic growth …

. Consequently, since its launch as a store of value and unit of account, there has been a clear convergence between the yield of … on the yield spread of French 10-year bonds, relative to the German Bund of the same maturity for the period January 1999 …