Macro-finance theory implies that trend inflation and the equilibrium real interest rate are fundamental determinants of the yield curve. However, empirical models of the term structure of interest rates generally assume that these fundamentals are constant. We show that accounting for time variation in these underlying long-run trends is crucial for understanding the dynamics of Treasury yields and predicting excess bond returns. We introduce a new arbitrage-free model that captures the key role that long-run trends play in determining interest rates. The model also provides new, more plausible estimates of the term premium and accurate out-of-sample yield forecasts.

中文翻译：

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星空下的利率

宏观金融理论暗示趋势通胀和均衡实际利率是收益率曲线的基本决定因素。但是，利率期限结构的经验模型通常假定这些基本面是恒定的。我们表明，考虑这些潜在的长期趋势中的时间变化对于理解国库券收益率的动态并预测超额债券收益至关重要。我们引入了一种新的无套利模型，该模型抓住了长期趋势在确定利率中所起的关键作用。该模型还提供了对期限溢价的新的，更合理的估计以及准确的样本外收益率预测。