This paper combines a structural vector autoregression (SVAR) with a no-arbitrage approach to build a multifactor affine term structure model (ATSM). The resulting no-arbitrage structural vector autoregressive (NA-SVAR) model implies that expected excess returns are driven by the structural...

This paper proposes to use No-Arbitrage Affine Term Structure Models as prior information on a Vector Autoregression (VAR) of yields. We evaluate the forecasting performance of the proposed approach against alternative models such as an unrestricted VAR and a Random Walk. As a result, we show...

Monetary policy moves the yield curve. How much is due to expected interest rates vs. term premia? And does it matter for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is subject to restrictions addressing an estimation bias in...