In this study, we apply the Longstaff and Schwartz (1992) two-factor term structure model to real yields across eight countries. As such, we improve on many prior studies that have inappropriately tested this formulation using nominal yield data. We use the generalized method of moments to test...

Forecasting at business cycle frequencies is traditionally done with statistically estimated econometric models. This paper takes a different approach, using a calibrated dynamic general equilibrium model in line with the real business cycle literature. First attempts by others have not proved...