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...

Early this year, economic activity plummeted as COVID-19 cases around the world surged and governments enacted restrictions to mitigate the spread of the virus. Over the summer, as restrictions were gradually lifted, the near-term outlook for the economy improved and economic data prints began...