on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that … much of the time-variation in excess bond returns accrues at times of important macroeconomic data releases. …

, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response …

uncertain payoffs? The standard CAPM formula suggests a beta-weighted average of the return on a safe investment and the mean … discount factors. This implies an effective discount rate schedule that declines over time from the standard CAPM formula down …

and macroeconomic shocks on nominal bond risks, using a New Keynesian model with habit formation and discrete regime … shifts in 1979 and 1997. The increase in bond risks after 1979 is attributed primarily to a shift in monetary policy towards … a more anti-inflationary stance, while the more recent decrease in bond risks after 1997 is attributed primarily to a …