model does not incorporate latent yield curve factors, but instead uses the common components of a large number of … outperform different benchmark models in out-of-sample yield forecasts, reducing root mean squared forecast errors relative to …

This paper presents a new framework allowing strategic investors to generate yield curve projections contingent on … expectations about future macroeconomic scenarios. By consistently linking the shape and location of yield curves to the state of … the economy our method generates predictions for the full yield-curve distribution under different assumptions on the …