Abstract
Treasury yields in the global bond market exhibit a secular decline in the past four decades. We show that this long-run trend of yield curve is associated with two key macroeconomic variables, the trend inflation and the equilibrium real short rate. These variables demonstrate substantial variation over time. Accounting for time variation of these macro trends is crucial for understanding yield dynamics. Changes in both trends can explain high persistence in interest rates. Furthermore, substantial predictive gain is obtained by including both trends in the predictive regression for bond risk premia in international bond markets.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
