Publisher Summary The quest for understanding what moves bond yields has produced an
enormous literature with its own journals and graduate courses. Those who want to join the …

When Japanese short-term bond yields were near their zero bound, yields on long-term
bonds showed substantial fluctuation, and there was a strong positive relationship between …

We investigate the relationship between uncertainty about monetary policy and its
transmission mechanism, and economic fluctuations. We propose a new term structure …

We document the phenomenon that average excess returns of out-of-the-money puts and
calls on bond futures are negative, both unconditionally and conditionally on economic …

Recent US Treasury yields have been constrained to some extent by the zero lower bound
(ZLB) on nominal interest rates. Therefore, we compare the performance of a standard affine …

No-arbitrage macro-finance models use variance decompositions to gauge the extent of
association between the macro variables and yields. We show that results generated by this …

We introduce a novel approach to estimating latent oil risk factors and establish their
significance in pricing nonoil securities. Our model, which features four factors with simple …

We introduce the class of linear‐rational term structure models in which the state price
density is modeled such that bond prices become linear‐rational functions of the factors …

In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve
has the potential to predict foreign exchange risk premiums. The most widely used interest …

Using a novel no‐arbitrage model and extensive second‐moment data, we decompose
conditional volatility of US Treasury yields into volatilities of short‐rate expectations and term …