INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH
用宏观金融模型研究美国债券市场的期限溢价，发现单一因子能解释大部分债券风险溢价变化，且模型分解出的期限溢价对预测通胀很重要。
SUMMARY We use a macro‐finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model‐implied risk premiums account for up to 40% of the variability of one‐ and two‐year excess returns. Using the model to decompose yield spreads into an expectations and a term premium component, we find that, although this decomposition does not seem important to forecast economic activity, it is crucial to forecast inflation for most forecasting horizons. Copyright © 2012 John Wiley & Sons, Ltd.