Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....

Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....

In this paper we model and predict the term structure of US interest rates in a data-rich and unstable environment. The dynamic Nelson-Siegel factor model is extended to allow the model dimension and the parameters to change over time, in order to account for both model uncertainty and sudden...