- 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
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