This paper estimates an internally consistent structural model that imposes cross-sectional
restrictions on the dynamics of the term structure of interest rates, inflation, and output …

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 …

Based on an empirically attractive Gaussian dynamic term structure model and data on the
short-term real interest rate and per capita real consumption, this paper examines the …

The downtrend in US interest rates over the past two decades may partly reflect a decline in
the longer-run equilibrium real rate of interest. We examine this issue using dynamic term …

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

This dissertation examines the relationship between the term structure of interest rates and
the macro economy. In the first chapter an affine term structure model of bond yields is …

The primary objective of this paper is to compare a variety of joint models of the term
structure of interest rates and the macroeconomy. To this end, we consider six alternative …

We propose a no-arbitrage term structure model with a Taylor rule and two macroeconomic
variables, real activity growth and inflation, that each contain long-run and short-run …

Several articles published in the 1990s have identified empirical relationships between the
term structure of real and nominal interest rates, on one hand, and future real output and …

This paper develops and estimates an equilibrium model which investigates the relationship
between the term structure of interest rates, inflation and GDP growth. The model accounts …