During 2004 and 2005, long-horizon interest rates fell sharply in major international government bond markets (Greenspan's "conundrum"). This common fall mainly reflected lower long real rates. To investigate possible causes, the authors apply a no-arbitrage affine modeling framework to...

This paper brings together two strands of the empirical macro literature: the reduced-form evidence that the yield spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary policy on output in an intertemporal Euler equation. We show...

In this Paper we concentrate on the hypothesis that the empirical rejections of the Expectations Theory (ET) of the term structure of interest rates can be caused by improper modeling of expectations. Our starting point is an interesting anomaly found by Campbell-Shiller (1987), when by taking a...