This paper compares the in sample fitting and the out of sample forecasting performances of four distinct Nelson-Siegel class models: Nelson-Siegel, Bliss, Svensson, and a five factor model we propose in order to enhance the fitting flexibility. The introduction of the fifth factor resulted in...

This paper presents a new procedure for forecasting recessions utilizing short-term (slope) dynamics present in the yield curve. Building on a large body of literature chronicling the relationship between the shape of the yield curve and the business cycle, this paper employs Dynamic...

In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...