We propose a three-step factor-flows simulation-based approach to forecast the duration distribution of unemployment … individual duration dependence, factor structure, and an auxiliary forecast of the unemployment rate to simulate a panel of … individual labor force histories. Applying our approach to the July Blue Chip forecast of the COVID-19 recession, we project that …

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

substitution over time --namely that 'the' interest rate in aggregate theory is not the promised yield on a Treasury Bill or Bond …

produce similar estimates of bond option values. This result is established for simple option forms with known closed …

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 …

We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected … inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in …

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 …