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Uncertainty about future policy rates plays a crucial role for the transmission of monetary policy to financial markets. We demonstrate …

Social discount rates (SDRs) are crucial for evaluating the costs of climate change. We show that the fundamental anchor for …

Macro-finance theory implies that trend inflation and the equilibrium real interest rate are fundamental determinants of the yield …

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) tighten the link between cross-sectional and time-series …

A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond …

Most existing macro-finance term structure models (MTSMs) appear incompatible with regression evidence of unspanned macro risk. This …

We show that conventional dynamic term structure models (DTSMs) estimated on recent U.S. data severely violate the zero lower bound …

This paper provides new estimates of the impact of monetary policy actions and macroeconomic news on the term structure of nominal …

This paper provides new evidence on the importance of inflation expectations for variation in nominal interest rates, based on both …

Previous research has emphasized the portfolio balance effects of Federal Reserve bond purchases, in which a reduced bond supply lowers …