Abstract Changes in monetary policy have surprisingly strong effects on forward real rates in
the distant future. A 100 basis point increase in the two-year nominal yield on a Federal …

We survey the growing literature emphasizing the role that supply and demand forces play
in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila …

We model the term structure of interest rates that results from the interaction between
investors with preferences for specific maturities and risk‐averse arbitrageurs. Shocks to the …

We examine empirically how the supply and maturity structure of government debt affect
bond yields and expected returns. We organize our investigation around a term-structure …

We develop a model in which specialized bond investors must absorb shocks to the supply
and demand for long-term bonds in two currencies. Since long-term bonds and foreign …

We use a portfolio‐based framework to understand what drives the decline of the US net
foreign asset (NFA) position and the reversal in returns earned on the US NFA (exorbitant …

In this paper, we argue that monetary policy in the form of central bank communication can
shape long-term interest rates by changing risk premia. Using high-frequency movements of …

Long-term interest rates in Europe fell sharply in 2014 to historically low levels. This
development is often attributed to yield-chasing in anticipation of quantitative easing by the …

Mortgage-backed securities are bonds with cash flows tied to the principal and interest
payments on a pool of underlying mortgages. Mortgage securitization has a long history (eg …

This paper studies variance risk premiums in the Treasury market. We first develop a theory
to price variance swaps and show that the realized variance can be perfectly replicated by a …