patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it … largely explains why short rates and yield spreads predict bond and currency returns. The model also creates the downward … expectations framework. Consistent with the model, we find that variables that predict bond and currency returns also predict …

expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk …

information for forecasting bond risk premia in a macro-finance term structure model from the perspective of a bond investor. I … forecaster's objective. Incorporating macro information generates significant gains in forecasting bond risk premia relative to …

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 …