Macroeconomic questions involving interest rates generally require a reliable joint dynamics of a large set of variables. More precisely, such a dynamic modelling must satisfy two important conditions. First, it must be able to propose reliable predictions of some key variables. Second, it must...

The recent macro-finance literature does not agree either about the empirical properties of the expectation part and of the term premium on long-term bonds or about the importance or even the direction of the relationship between the term premium and future economic activity. This paper proposes...