debt by encouraging bond issues to contain call features. Are the interest rate effects associated with these policies …

-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …

foot-print of sector rotation has predictive power for the evolution of the economy and future bond market returns, even …

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …

find additional, very small factors that forecast equally small differences between long term bond returns, and hence …This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on … in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models …

Are structural models getting closer to being able to forecast exchange rates at short horizons? Here we argue that …, we are able to generate some improvement, but even that improvement is not entirely robust to the forecast window, and …

and autocorrelation of error. The marginal forecast errors tend to increase, and the correlations between predictions and …

environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …