Simple Bayesian learning models, such as those proposed by Lewellen and Shanken (2002) and Pastor and Veronesi (2003, 2006), suggest that new (additional) information reduces posterior variance of investor expectation for the unobservable. Consistent with such common wisdom, Dubinsky and...

We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...

We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...