Interest Rates under Falling Stars
研究发现通胀趋势和均衡实际利率的长期变化对理解国债收益率和预测超额债券收益至关重要，并提出了一个无套利模型来捕捉这些长期趋势的影响。
Macro-finance theory implies that trend inflation and the equilibrium real interest rate are fundamental determinants of the yield curve. However, empirical models of the term structure of interest rates generally assume that these fundamentals are constant. We show that accounting for time variation in these underlying long-run trends is crucial for understanding the dynamics of Treasury yields and predicting excess bond returns. We introduce a new arbitrage-free model that captures the key role that long-run trends play in determining interest rates. The model also provides new, more plausible estimates of the term premium and accurate out-of-sample yield forecasts.