NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Bond Risk Premia in Consumption-based Models

Drew D. Creal, Jing Cynthia Wu

NBER Working Paper No. 22183
Issued in April 2016

---- Acknowledgments ----

We thank Frank Diebold, Stefano Giglio, Jim Hamilton, Lars Hansen, Frank Schorfheide, Ivan Shaliastovich, Dongho Song, George Tauchen, and Jonathan Wright as well as seminar participants at UPenn, NBER Summer Institute Forecasting & Empirical Methods, 5th Conference on Fixed Income Markets, Bank of Japan, FRB Cleveland, FRB St. Louis, Chicago Junior Macro and Finance meetings, 2nd FMND for helpful comments. Cynthia Wu gratefully acknowledges financial support from the James S. Kemper Foundation Faculty Scholar at the University of Chicago Booth School of Business. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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