We study risk premiums in the US Treasury bond market from the perspective of a Bayesian econometrician RA who learns in real-time from disagreement among investors about future bond yields. Notably, disagreement has substantial predictive power for yields, and RA's risk premiums are less...

We study Ramsey optimal fiscal policy under incomplete markets in the case where the government issues only long bonds of maturity N 1. We find that many features of optimal policy are sensitive to the introduction of long bonds, in particular tax variability and the long-run behaviour of debt....