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 …

By expanding the macro part of macro-finance models, historical fluctuations in US bond
yields turn out to be largely consistent with the rational expectations hypothesis. We estimate …

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 …

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 …

The expectations model of the term structure states that the yields to maturity of long-term
bonds are equal to the average of expected future short-term bond yields. This venerable …

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 …

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 …

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 …

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 …

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 …