"Building on the recent macro finance literature, this paper develops an empirical term structure model in which investors' judgmental forecasts of macro variables play an important role. The model allows for a limited form of time-variation in the dynamics describing the behavior of short-term...

Over recent decades, central banks have made enormous strides in enhancing transparency around many elements of the formulation and conduct of monetary policy. Still, even for an audience of seasoned policy experts, providing clarity about aspects of monetary policy strategy is a daunting task...