This paper considers the problem of forecasting economic and financial variables across a
large number of countries in the global economy. To this end a global vector autoregressive …

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 …

Abstract Linearized New Keynesian models and empirical no-arbitrage macro-finance
models offer little insight regarding the implications of changes in bond term premiums for …

Does the yield curve have the ability to predict output and recessions? At some times and in
certain places, of course! But when and where, which aspects of the curve matter most, and …

The recent macro-finance literature does not agree either about the empirical properties of
the expectation part and of the term premium on long-term bonds or about the importance or …

The spread between the yields on long-and short-maturity nominal Treasury securities
narrowed in 2017, prompting considerable attention from market commentators and policy …

We provide evidence on the effect of the slope of the yield curve on economic activity
through bank lending. Using detailed data on banks' lending activities coupled with term …

Why does the short-term slope of the yield curve predict recessions? In this Economic
Perspectives article, we explore the economic forces underlying Treasury yields' fluctuations …

Within an affine model of the term structure of interest rates, where bond yields get driven by
observable and unobservable macroeconomic factors, parameter restrictions help identify …

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 …