The FOMC's announcements of Treasury purchase programs and the subsequent or contemporaneous statements by the New York Fed about the programs' operational details provide a sequence of natural experiments with the potential to shed light on the relative importance of the duration risk channel...

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...