-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it … largely explains why short rates and yield spreads predict bond and currency returns. The model also creates the downward … expectations framework. Consistent with the model, we find that variables that predict bond and currency returns also predict …

patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it … largely explains why short rates and yield spreads predict bond and currency returns. The model also creates the downward … expectations framework. Consistent with the model, we find that variables that predict bond and currency returns also predict …

equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian … approach. The natural real rate and trend inflation are cornerstones determining equilibrium yields across maturities and …