The study looked at bonds in the US and UK to see if their prices can predict future changes. They found that both real and nominal bonds do not follow the expectations hypothesis, meaning their risk premiums change predictably over time. This suggests that the difference between real and nominal bond risk premiums also changes over time. The variability in real bond risk premiums likely comes from changing real interest rate and liquidity risk premiums, while the variability in nominal bond risk premiums comes from changing inflation risk premiums.