We outline a macro-finance model for simulating long-horizon returns on government bonds. We show how the determinants of return distributions change across different investment horizons, and discuss differences in prospective returns on long- and …
Using a novel no-arbitrage model and extensive second-moment data, we decompose conditional volatility of U.S. Treasury yields into volatilities of short-rate expectations and term premia. Short-rate expectations become more volatile than premia …