Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates of marginal pricing kernels of the market return and...

The Federal Reserve uses (reverse) auctions to implement its purchases of Treasury bonds in quantitative easing. To evaluate dealers' offers across multiple bonds, the Fed relies on its internal yield-curve model, fitted to secondary market bond prices. From November 2010 to September 2011, a...

Interest rate variance risk premium (IRVRP), the difference between implied and realized variances of interest rates, emerges as a strong predictor of Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by other...

Measured as yield spreads against AAA corporate bonds, the convenience premium for agency MBS averaged 47 basis points between 1995 and 2021, about half of the long-term-Treasury convenience premium. Both the MBS convenience premium and the issuance amount vary negatively with the mortgage rate,...

The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its quantitative easing (QE) policy. In this paper, we study the outcomes of QE auctions and participating dealers' bidding behaviors from November 2010 to September 2011, during which...

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...