captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

This paper investigates the joint dynamics of nominal bond yields, real bond yields and dividend yields from the 80s up …

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic …