The Yield Spread and Bond Return Predictability in Expansions and Recessions
研究发现，预期超额债券回报与收益率曲线斜率（即收益率利差）在扩张期正相关，在衰退期负相关，并利用宏观金融期限结构模型揭示衰退期宽松货币政策是这一转变的关键驱动因素。
Abstract This paper uncovers that expected excess bond returns display a positive correlation with the slope of the yield curve (i.e., yield spread) in expansions but a negative correlation in recessions. We use a macro-finance term structure model with different market prices of risk in expansions and recessions to show that a very accommodating monetary policy in recessions is a key driver of this switch in return predictability.