This chapter reviews some of the academic literature that links nominal and real term
structures with the macroeconomy. The main conclusion is that none of our models is …

We use a macro‐finance model, incorporating macroeconomic and financial factors, to study
the term premium in the US bond market. Estimating the model using Bayesian techniques …

To test whether expected excess bond returns are correlated with particular macroeconomic
variables, the relevant null hypothesis is that expected excess returns are stochastic …

Understanding the behavior of expected excess bond returns and their relationship with the
economy has long been an active area of research. Many popular models of the yield curve …

The covariance between US Treasury bond returns and stock returns has moved
considerably over time. While it was slightly positive on average in the period 1953-2009, it …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

We decompose the term structure of expected equity returns into (1) the real short rate,(2) a
premium for holding real long-term bonds, or the real duration premium, the excess returns …

This paper uncovers that expected excess bond returns display a positive correlation with
the slope of the yield curve (ie, yield spread) in expansions but a negative correlation in …

Real stock prices do not show the relation to long-term interest rates that a simple rational
expectations present value model would imply. Real stock prices drop when long-term …

During the past decade, much new research has combined elements of finance, monetary
economics and macroeconomics in order to study the relationship between the term …