We show that at-the-money implied volatility of options on futures of 5-year Treasury notes (Treasury ‘yield implied volatility') predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and...

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...

Nominal yields can be expressed as the sum of an expectation, term premium, and convexity component, and in turn of their real and inflation counterparts. We extract these terms from the yield curve of the U.S., Euro Area, U.K., and Japan using a term structure model that explicitly captures the...