Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … performance of forecast combinations. Consistent with models featuring unspanned macro factors, our forecasts of future bond …

We test the out-of-sample predictive power for one-year bond excess returns for a variety of models that have been … historical sample mean. We write the one-year excess return on a n-maturity bond at time t + 1 as the difference between n times … the n-maturity bond yield at time t, and the sum of n − 1 times the (n − 1)-maturity bond yield at time t + 1 and the one …

The yield curve is the centrepiece in bond markets, a massive asset class with an overall size of USD100 trillion that …

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 …