structural disturbances on output, inflation, and interest rates and to decompose movements in long-term rates into terms …

-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …

This paper considers how the role of inflation as a leading business-cycle indicator affects the pricing of nominal … growth and inflation. We solve for yields under various assumptions on the evolution of investor beliefs. If inflation is bad … spreads are high in times when inflation news are harder to interpret. This is relevant for periods such as the early 1980s …

equation of a US investor who invests in these currency portfolios. US investors earn negative excess returns on low interest … rate currencies provide US investors with a hedge against US aggregate consumption growth risk, because these currencies … growth is low. As a result, the risk premia predicted by the Consumption-CAPM match the average excess returns on these …

. In addition to standard Wald tests, we formulate Lagrange Multiplier and Distance Metric tests which require estimation … under the non-linear constraints of the null hypotheses. Estimation under the null is achieved by iterating on approximate …