Uncovered interest rate parity, together with long-run relative purchase power parity, implies that the real exchange rate has predictive power for real bond return differentials. We show this implication to be at odds with the data. Hence, we provide new (indirect) evidence of time-varying...

We use high-frequency data to precisely estimate bond price reactions to macroeconomic announcements and the associated compensation for macro risks. We find evidence of a single factor summarizing the reaction of bond prices to different announcements. Prior to the financial crisis, the factor...

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1) identify all relevant sources of risk and 2) assume a...