• 1 Introduction
  • 2 The Model
  • 2.1 The yield-macro model: specification
  • 2.2 The yield-macro model with regime shifts: specification
  • 2.3 Model estimation
  • 2.4 Improving the forecasting ability: Bagging
  • 3 Empirical Results
  • 3.1 Data
  • 3.2 What is driving the Yield Curve Predictability?
  • 3.3 Out-of-Sample Forecasting
  • 4 ConclusionReferences