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 …

predictability varies over time, however, particularly across different monetary regimes. In accord with our proposed theory, regimes …

backbone for our empirical results, via an “option value” channel. Theory yields sizeable real effects and a muted monetary …

backbone for our empirical results, via an “option value” channel. Theory yields sizeable real effects and a muted monetary …

cyclicality of the bond premium. Self-fulfilling liquidity traps are associated with a counter-cyclical bond premium. Small … liquidity traps arise under a pro-cyclical bond premium and government debt is expansionary. In the data, we find evidence of a … counter-cyclical bond premium and a pro-cyclical supply of safe assets. We propose robust policies that prevent the existence …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …