This chapter discusses what the asset-pricing literature concludes about the forecastability
of interest rates. It outlines forecasting methodologies implied by this literature, including …

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 …

The one-year expected inflation rate and the expected real return on one-year bonds move
opposite one another. The result is that the term structure shows little power to forecast near …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

No-arbitrage term structure models impose cross-sectional restrictions among yields and
can be used to impose dynamic restrictions on risk compensation. This paper evaluates the …

Despite its important role in monetary policy and finance, the expectations hypothesis (EH)
of the term structure of interest rates has received virtually no empirical support. The …

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 …

Survey data on interest rate expectations permit separate testing of the two alternative
hypotheses in traditional term structure tests: that the expectations hypothesis fails, and that …

The term structure of interest rates is an important subject to economists, and has a long
history of traditions. This paper re‐examines many of these traditional hypotheses while …

I THE LAST TEN YEARS have witnessed an active interest in the term structure of interest
rates. While the proliferation of studies has failed to lead to a widely accepted view, work by …