The well-known Heath-Jarrow-Morton (HJM) framework provides a universal and efficacious instrument for modeling the stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no-arbitrage conditions. Existing implementations involve...

Using a novel macro-finance model we infer jointly the equilibrium real interest rate r*t, trend inflation, interest rate expectations, and bond risk premia for the United States. In the model r*t plays a dual macro-finance role: as the benchmark real interest rate that closes the output gap and...