How much do term premiums matter for explaining the dynamics of the term structure of
interest rates? A lot. We characterize the expected path of nominal and real short-rates as …

We explore the role of evolving beliefs regarding the structure of the macroeconomy in
improving our understanding of the term structure of interest rates within the context of a …

Although the expectations theory is the dominant model of long-term interest rate
determination, empirical studies often reject its implications. Taking the theory as a …

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 examine the importance of incorporating macroeconomic information and, in particular,
accounting for model uncertainty when forecasting the term structure of US interest rates. We …

This paper provides cross-country empirical evidence on term premia. I construct a panel of
zero-coupon nominal government bond yields spanning ten industrialized countries and …

We show how to price the time series and cross section of the term structure of interest rates
using a three-step linear regression approach. Our method allows computationally fast …

Changes in nominal interest rates must be due to either movements in real interest rates,
expected inflation, or the inflation risk premium. We develop a term structure model with …

The expectations theory of the term structure is well known to give wrong signals as to the
future course of long-term interest rates. One explanation involves rational time-varying term …

This paper extends previous work on the information in the US term structure at longer
maturities to Britain, West Germany, and Switzerland. We find strong evidence that the term …