I estimate a term structure model of Treasury yields where information about macroeconomic conditions is dispersed: traders form beliefs by combining prices with idiosyncratic signals about fundamentals. Econometrically, yields and inflation forecasts identify traders' information. Despite...

Görtz et al. (2022) estimate the effects of innovations to future total factor productivity (TFP) on financial markets. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter ahead forecast error variance (FEV) of TFP. Their...