This paper brings together two strands of the empirical macro literature: the reduced-form evidence that the yield … and inflation are difficult to interpret using a standard macroeconomic framework. A decomposition of the yield spread …

-varying yield curve response to monetary policy innovations found in the data. A key ingredient in explaining the yield curve …

much predictability of interest rate changes compared with yield curve evidence. We show that this is not sufficient proof …

directly related to current and expected monetary policy, the yield on long term government bonds. We explore how the behaviour …

. Given the limited variability of the yield curve using maturities is a poor way to substitute for state contingent debt. The …

that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact on … information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting … assuming constant risk price for medium horizon-maturity forecast when yield factors dominate the information set, and for …

We study the bond yield conundrum in a macro-finance framework. Building upon a flexible and non-structural macro …-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial …