This paper develops an affine model of the term structure of interest rates in which bond yields are driven by … structural disturbances on output, inflation, and interest rates and to decompose movements in long-term rates into terms …

Standard theory implies that the discount rates used by firms in investment decisions (i.e., their required returns to … below the one- to-one mapping assumed by standard theory, with substantial heterogeneity across firms. This pattern leads to …

Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk …* and π*, and not bond risk premia. Global components of unexpected bond returns are influential, while the local components … theory and previous findings …

-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 …

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 …. Though the return-forecasting factor accounts for more than 99% of the time-variation in expected excess bond returns, we …

This paper tests several competing models of municipal bond market equilibrium. It analyzes the influence of changes in …

properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is … endogenous and determined through an interest-rate/Taylor rule. When inflation is exogenous, it is difficult to match the shape … with exogenous inflation does not exhibit any negative autocorrelation - a necessary condition for an upward sloping yield …