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 …

We use a macro‐finance model, incorporating macroeconomic and financial factors, to study
the term premium in the US bond market. Estimating the model using Bayesian techniques …

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 …

Macrofinance term structure models rely too heavily on the volatility of expected inflation
news as a source for variations in nominal bond yield shocks. We develop and estimate a …

This paper uncovers that expected excess bond returns display a positive correlation with
the slope of the yield curve (ie, yield spread) in expansions but a negative correlation in …

Abstract In 2004 and 2005, long-term interest rates remained remarkably low despite
improving economic conditions and rising short-term interest rates, a situation that former …

Macro-finance theory implies that trend inflation and the equilibrium real interest rate are
fundamental determinants of the yield curve. However, empirical models of the term …

Many papers find that the term spread of the term structure of government bond yields can
predict future output growth. This paper extends that literature by exploiting information in …

During the past decade, much new research has combined elements of finance, monetary
economics and macroeconomics in order to study the relationship between the term …

Despite powerful advances in yield curve modeling in the last 20 years, comparatively little
attention has been paid to the key practical problem of forecasting the yield curve. In this …