Recent U.S. Treasury yields have been constrained to some extent by the zero lower bound (ZLB) on nominal interest rates. In modeling these yields, we compare the performance of a standard affine Gaussian dynamic term structure model (DTSM), which ignores the ZLB, and a shadow-rate DTSM, which...

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

To support the economy, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed’s associated interest rate risk — including potential losses to its Treasury securities holdings and declines in remittances to the Treasury. Unlike past examinations of this interest...

This paper forms the basis for Janet Yellen's Presidential address to the Western Economic Association International, delivered July 1, 2004, in Vancouver, British Columbia.

The term premium on nominal long-term bonds in the standard dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to empirical measures obtained from the data--an example of the ''bond premium puzzle.'' However, in models of endowment...

The ability of the usual factors from empirical arbitrage-free representations of the term structure—that is, spanned factors—to account for interest rate volatility dynamics has been much debated. We examine this issue with a comprehensive set of new arbitrage-free term structure...

Presentation to the Annual AEA/ASSA Conference, San Francisco, CA, January 4, 2009

Presentation to the University of California at Berkeley Boalt School Alumni, San Francisco, March 2, 2005

Presentation to the Financial Women’s Association, San Francisco, CA, January 15, 2009

Panel presentation at the Federal Reserve Bank of Dallas Conference: "John Taylor’s Contributions to Monetary Theory and Policy" - October 12, 2007