A Factor Analysis of Bond Risk Premia
---- Acknowledgements -----
We thank Jushan Bai for helpful suggestions and Matt Smith for excellent research assistance. We also thank the Conference Board for providing us with some of the data. Financial support from the National Science Foundation (Grant No. 0617858 to Ludvigson and SES-0549978 to Ng) is gratefully acknowledged. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.