Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that … Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and …

We present a theory in which the key driver of short-term debt issued by the financial sector is the portfolio demand … prediction of the theory is that safe and liquid government debt should crowd out financial sector lending financed by short …

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 …

inflation volatility. Using an approximate solution to bond prices, we show that the ZLB model successfully captures interest …

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 …

How do cyclical fiscal stabilisation policies affect welfare and government bond risk premia? Using a new Keynesian … model we find that the effects of fiscal policy rules on the bond premium and welfare crucially depend on the source of …

This article proposes an overview of the usefulness of the regime switching approach for building various kinds of bond …

UK government bond yields rise significantly in a two-day window before Monetary Policy Committee (MPC) meetings, with … coincide with issuance of UK government bonds. Analysing granular transaction-level data surrounding bond issuance, we find …

We study drift and cyclical components in U.S. Treasury bonds. We find that bond yields are drifting because they … productivity trends, plus long-term inflation expectations, leads to cyclical deviations of bond prices from their drift that … predict bond returns in- and out-of-sample. These bond cycles can originate from term premia or temporary deviations from …

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 …