2

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 …

Previous research has established that the Federal Reserve’s large scale asset purchases (LSAPs) significantly influenced international …

Term premia implied by maximum likelihood estimates of affine term structure models are misleading because of small-sample bias. We …

The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the …