Academic Research: How Fear Predicts US Treasury Bond Risk Premia

A recent academic study tracks the global transmission of fear in the treasury markets: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4950235

Fear in the "Fearless" Treasury Market (2025)

➡️ "Fear" predicts U.S. Treasury bond risk premia with strong statistical support after controlling for traditional yield curve, macroeconomic, and sentiment predictors.
➡️ The paper shows that the fear index explains 22.42% to 25.62% of in-sample variation in bond risk premia, and achieves out-of-sample R² values ranging from 22.05% to 30.24% across bond maturities.