This study empirically documents that inflation is significantly more persistent when it is below the central bank target than otherwise, for inflation rates in five inflation targeting countries (Australia, New Zealand, Sweden, United States and the Euro- Area). The study uses a threshold...

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables...