This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS (nominal Treasury) excess returns. The explanatory power...