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 …

Changing interest rates constitute one of the major risk sources for banks, insurance
companies, and other financial institutions. Modeling the term-structure movements of …

We investigate the relationship between uncertainty about monetary policy and its
transmission mechanism, and economic fluctuations. We propose a new term structure …

We use information in the term structure of survey-based forecasts of inflation to estimate a
factor hidden in the nominal yield curve. We construct a model that accommodates forecasts …

We document the phenomenon that average excess returns of out-of-the-money puts and
calls on bond futures are negative, both unconditionally and conditionally on economic …

We introduce downward volatility jumps into a general non-affine modeling framework of the
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …

We document a form of excess volatility that is difficult to reconcile with standard models of
prices, even after accounting for variation in discount rates. We compare prices of claims on …

This paper explores the implications of filtering and no-arbitrage for the maximum likelihood
estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian …

We introduce the class of linear‐rational term structure models in which the state price
density is modeled such that bond prices become linear‐rational functions of the factors …

We propose a new measure of financial intermediary constraints based on how
intermediaries manage their tail risk exposures. Using data for the trading activities in the …