This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...

We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in no-arbitrage...

1. We test the downward slopping equity term structure in an environment of negative interest rate. 2. We improve the measure of equity duration proposed by \citet*[][]{dechow2004}. 3. We show that the “short-duration” factor improves the performance of factor models. 4. We show that...

The Farm Credit System (FCS) is an important source of financing for many rural communities in the United States. As a government-sponsored enterprise (GSE), the FCS has a mandate to provide credit to farmers, ranchers, and aquatic producers at fair market terms. In recent decades, the System's...