Changes in bond market risks driven by monetary policy and inflation dynamics.
The article explores how changes in the economy and monetary policy impact bond market risks. By analyzing the relationship between growth, inflation, and monetary policy, the study finds that changes in these factors affect bond prices and volatility. Specifically, shifts in the correlation between growth and inflation have a significant impact on bond risk premia and market volatility. The study also shows that variations in these factors lead to the failure of certain bond return prediction models.