The endeavor to understand bond returns and the term structure of interest rates has
generated an extensive literature, ranging from papers on return predictability and affine …

This paper studies whether the evident statistical predictability of bond risk premia translates
into economic gains for investors. We propose a novel estimation strategy for affine term …

This paper revisits the study of time-varying excess bond returns in international bond
markets. Using newly available yield curve data from 10 different countries with independent …

This article examines the predictable variation in long‐maturity government bond returns in
six countries. A small set of global instruments can forecast 4 to 12 percent of monthly …

This paper examines time-varying measures of term premiums across ten developed
economies. It shows that a single factor accounts for most of the variation in expected excess …

Expectations theories of asset returns may be interpreted either as stating that risk premia
are zero or that they are constant through time. Under the former interpretation, different …

In this paper, we estimate and interpret the factors that jointly determine bond returns of
different maturities in the US, Germany and Japan. We analyze both currency-hedged and …

Are there important cyclical fluctuations in bond market premiums and, if so, with what
macroeconomic aggregates do these premiums vary? We use the methodology of dynamic …

The covariance between US Treasury bond returns and stock returns has moved
considerably over time. While it was slightly positive on average in the period 1953-2009, it …

This paper explores the time variation in the bond risk, as measured by the covariation of
bond returns with stock returns and consumption growth, and in the volatility of bond returns …