from government bond trading using Nelson-Siegel functional form. This decomposition of the yield curve highlights …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 … countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The … controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …