When Japanese short-term bond yields were near their zero bound, yields on long-term bonds showed substantial fluctuation, and there was a strong positive relationship between the level of interest rates and yield volatilities/risk premiums. We explore whether several families of dynamic term...

type="main" <title type="main">ABSTRACT</title> <p>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 develop a novel arbitrage-free dynamic term structure model in which bond investment...</p>

This article develops a new family of Gaussian macro-dynamic term structure models (MTSMs) in which bond yields follow a low-dimensional factor structure and the historical distribution of bond yields and macroeconomic variables is characterized by a vector-autoregression with order p 1. Most...