Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …

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 study time variation in expected excess bond returns. We run regressions of one-year
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …

This article develops and empirically implements an arbitrage-free, dynamic term structure
model with “priced” factor and regime-shift risks. The risk factors are assumed to follow a …

We present and estimate a continuous time term structure model that incorporates
observable macroeconomic variables and latent variables with a clear macroeconomic …

There are a large number of reduced-form, multifactor term structure models available in the
literature. However, the basic question of which model does the best job at explaining the …

In this paper, we investigate the timing of structural changes in yield curve dynamics in the
context of an arbitrage-free, one latent and two macroeconomic factors, affine term structure …

This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …

This paper explores the sources of variation in expected excess returns on bonds within a
Gaussian dynamic term structure model that:(i) conditions on information about output …

This paper proposes and implements a parsimonious three-factor model of the term
structure whose dynamics is driven uniquely by observable state variables. This approach …