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

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 …

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 …

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 …

models when measured by root mean square errors, especially over long-run forecast horizons. The model is shown to be capable …

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

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