observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …

policy implications for the e17.5 trillion European pension and insurance industries: long maturity bond yields seem …

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … significantly and positively future monthly Treasury bond excess returns. This forecastability remains significant controlling for … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … United States. Our empirical results suggest that the current environment of very low nominal sovereign bond yields, is a …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

The bond yield dynamics implied by a welfare-maximizing monetary policy and its credibility are explored in general … and inflation responses to a source of inflation risk. Bond yields contain compensations for this risk that depend on the … policy. Credibility improvements reduce the exposure to inflation risk and bond risk premiums decline. A model calibration …

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation … bond yields via the term premium. …