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 …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

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 …

We study time variation in expected excess bond returns. We run regressions of one-year
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …

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 …

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 quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …

A previous literature has documented that bond returns are predicted by macroeconomic
information not contained in yields contemporaneously. That literature has mostly relied on …

This chapter reviews some of the academic literature that links nominal and real term
structures with the macroeconomy. The main conclusion is that none of our models is …

We find that augmenting a regression of excess bond returns on the term structure of forward
rates with an estimate of the mean realized jump size almost doubles the R2 of the …