This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …

This article develops and empirically implements an arbitrage-free, dynamic term structure
model with “priced” factor and regime-shift risks. The risk factors are assumed to follow a …

Linear projections of returns on the slope of the yield curve have contradicted the
implications of the traditional “expectations theory”. This paper shows that these findings are …

Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …

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 propose using model‐free yield quadratic variation measures computed from intraday
data as a tool for specification testing and selection of dynamic term structure models. We …

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 …

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 …

I present a model for the term structures of nominal and real interest rates in the UK that
incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and …

This paper reviews alternative options for monetary policy when the short‐term interest rate
is at the zero lower bound and develops new empirical estimates of the effects of the …