We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S. interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our...

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...