Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

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 studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a … that inêationary unexpected shocks indicate lower consumption growth, nominal bond holders need to be compensated for these …

Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond … find, that default risks measured via expected debt-to-GDP ratio explain a good stake of the variation of bond spreads in …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase …

bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase …