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 risk of a default-free bond stems from two major sources-interest rate shifts and changes
in bond market volatility. The first type of risk is well known. The second is less familiar …

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 …

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 provides theory and evidence that a low-dimensional term structure model can
simultaneously price bonds and related options. It shows that a component of volatility risk …

This chapter discusses what the asset-pricing literature concludes about the forecastability
of interest rates. It outlines forecasting methodologies implied by this literature, including …

Shocks to nominal bond yields consist of news about expected future inflation, expected
future real short rates, and expected excess returns—all over the bond's life. I estimate the …

We study risk premium in US Treasury bonds. We decompose Treasury yields into inflation
expectations and maturity-specific interest-rate cycles, which we define as variation in yields …

This paper uses the term structure of interest rates to explain the variations of stock prices
and stock returns. It shows that interest rates have an important impact on stock returns …

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 …