The article breaks down the reasons behind the predictability of returns on government bonds, focusing on inflation-indexed and nominal bonds. The researchers found that a liquidity premium exists in Treasury Inflation Protected Securities (TIPS) yields compared to nominal yields, especially during times of financial crisis. They also discovered that time-varying liquidity and inflation risk in bonds contribute to return predictability. The study highlights the importance of understanding the differences in liquidity between TIPS and Treasury bonds, as it can help explain why returns on government bonds can be predicted.