1. The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation. (2013). Stewart, Chris ; Goda, Thomas ; Lysandrou, Photis.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:27:y:2013:i:c:p:113-136.

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2. The contribution of us bond demand to the us bond yield conundrum of 2004 to 2007: an empirical investigation. (2011). Stewart, Chris ; Goda, Thomas ; Lysandrou, Photis.
   In: Documentos de Trabajo de Valor Público.
   RePEc:col:000122:010719.

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1. 3. GDP growth volatility: The GDP growth data are available at quarterly frequency. We took these from Stock and Watson (2008). Growth rates are the log of the year-on-year diïerences. The volatility was obtained by taking the standard deviation over the past 24 months (quarterly frequency). Monthly observations were constructed by interpolation (cubic spline). 4. Volatility of outstanding consumer credit. Consumer credit data is available through the FRED database. The volatility was obtained by taking the standard deviation over the past 12 months (monthly frequency).
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2. 5. Macroeconomic data on the GDP of China was taken from a study by Rajaguru and Abeysinghe (2004). The volatility was obtained by taking the standard deviation over the past 24 months (quarterly frequency) . Monthly observations were constructed by interpolation (cubic spline). 6. Volatility of loans by commercial banks. Consumer credit data is available through the FRED database. The volatility was obtained by taking the standard deviation over the past 12 months (monthly frequency). 7. Volatility of PCE inïation:: PCEinïation was obtained through the FRED database( Personal Consumption Expenditures: Chain-Type Price Index Less Food and Energy ). The volatility measure was obtained by taking the standard deviation of prices over the past 24 months (monthly frequency). 8. VIX index: Obtained through Datastream.
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3. 9. Investor sentiment: Obtained from the website of Wurgler. The sentiment index and related issues are discussed in Baker and Wurgler (2007). 10. Volatility of net government spending. Net government spending was obtained through the FRED database. The volatility was obtained by taking the standard deviation over the past 24 months (quarterly frequency). Monthly observations were constructed by interpolation (cubic spline). 11. Volatility of expectations: The expectations are taken form the Michigan Survey. The volatility measure was obtained by taking the standard deviation of prices over the past 12 months (monthly frequency).
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4. Ang, A., S. Dong, and M. Piazzesi (2005). No-arbitrage taylor rules. Proceedings. Ang, A. and M. Piazzesi (2003, May). A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics 50(4), 745â787.

5. Backus, D. K. and J. H. Wright (2007). Cracking the conundrum. Brookings Papers on Economic Activity 38(2007-1), 293â329.

6. Baker, M. and J. Wurgler (2007, Spring). Investor sentiment in the stock market. Journal of Economic Perspectives 21(2), 129â152.

7. Bansal, R. and H. Zhou (2002, October). Term structure of interest rates with regime shifts. Journal of Finance 57(5), 1997â2043.

8. Basistha, A. and A. Kurov (2008, December). Macroeconomic cycles and the stock marketâs reaction to monetary policy. Journal of Banking & Finance 32(12), 2606â2616.

9. Bernanke, B. (2005). The global saving glut and the u.s. current account deïcit. Sandridge Lecture, Virginia Association of Economics, Richmond, Virginia.
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10. Bernanke, B. S., V. R. Reinhart, and B. P. Sack (2004). Monetary policy alternatives at the zero bound: An empirical assessment. Brookings Papers on Economic Activity 35(2004-2), 1â100.

11. Bernanke, B., J. Boivin, and P. S. Eliasz (2005, January). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (favar) approach. The Quarterly Journal of Economics 120(1), 387â422.

12. Boyd, J. H., J. Hu, and R. Jagannathan (2005, 04). The stock marketâs reaction to unemployment news: Why bad news is usually good for stocks. Journal of Finance 60(2), 649â672.

13. Chauvet, M. and J. Piger (2008, January). A comparison of the real-time performance of business cycle dating methods. Journal of Business & Economic Statistics 26, 42â49.

14. Cochrane, J. H. (2007). Commentary on âmacroeconomic implications of changes in the term premiumâ. Federal Reserve Bank of St.-Louis: Review (July), 271â282.
    Paper not yet in RePEc: Add citation now
    

15. Eijïnger, S. C. and P. M. Geraats (2006, March). How transparent are central banks? European Journal of Political Economy 22(1), 1â21.

16. Kim, D. H. (2007, December). Challenges in macro-ïnance modeling. BIS Working Papers 240, Bank for International Settlements.
    Paper not yet in RePEc: Add citation now
    

17. Marcellino, M., C. A. Favero, and F. Neglia (2005). Principal components at work: the empirical analysis of monetary policy with large data sets. Journal of Applied Econometrics 20(5), 603â620.

18. Rajaguru, G. and T. Abeysinghe (2004). Quarterly real gdp estimates for china and asean4 with a forecast evaluation. Journal of Forecasting 23(6), 431â447.

19. Rudebusch, G. D., E. T. Swanson, and T. Wu (2006, December). The bond yield conundrum; from a macro-ïnance perspective. Monetary and Economic Studies 24(S1), 83â109.

20. The recession probabilities we used, were taken from Chauvet and Piger (2008). The data are available on the website of Jeremy Piger. C Tables and ïgures Constant Loadings Matrix of factor loadings -156.87 0.37-6.81 11.80-3.59 16.34 629.34-1.45 30.99-49.94 11.83-62.10 520.05-1.23 22.10-33.89 1.64-49.57 -62.03 0.15-2.41 3.15 1.67 4.98 40.70-0.10 1.45-1.97 0.40-4.51
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1. Specification Analysis of International Treasury Yield Curve Factors. (2014). Tiozzo Pezzoli, Luca ; Pegoraro, Fulvio ; Siegel, A. F..
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   RePEc:bfr:banfra:490.

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2. Bond Risk Premia and Gaussian Term Structure Models. (2014). Fontaine, Jean-Sebastien ; Feunou, Bruno.
   In: Staff Working Papers.
   RePEc:bca:bocawp:14-13.

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3. The Euro-dividend: public debt and interest rates in the Monetary Union. (2010). Salotti, Simone ; Marattin, Luigi.
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   RePEc:bol:bodewp:695.

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4. Challenges in macro-finance modeling. (2008). Kim, Don.
   In: Finance and Economics Discussion Series.
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5. Examining the bond premium puzzle with a DSGE model. (2008). Swanson, Eric ; Rudebusch, Glenn.
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6. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. (2007). van der Wel, Michel ; Koopman, Siem Jan ; Max I. P. Mallee, .
   In: Tinbergen Institute Discussion Papers.
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7. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
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8. Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
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9. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
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10. The Long and the Short End of the Term Structure of Policy Rules. (2007). Taylor, John ; Smith, Josephine.
    In: NBER Working Papers.
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11. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: NBER Working Papers.
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12. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach. (2007). Yue, Vivian ; Diebold, Francis ; Li, Canlin.
    In: NBER Working Papers.
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13. No-Arbitrage Taylor Rules. (2007). Piazzesi, Monika ; Dong, Sen ; Ang, Andrew.
    In: NBER Working Papers.
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14. Cracking the Conundrum. (2007). Wright, Jonathan.
    In: NBER Working Papers.
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15. Mortgage Timing. (2007). Van Nieuwerburgh, Stijn ; koijen, ralph ; Ralph S. J Koijen, ; van Hemert, Otto .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13361.

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16. Predictive Systems: Living with Imperfect Predictors. (2007). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
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17. Macro volatility in a model of the UK Gilt edged bond market. (2007). Spencer, Peter.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
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18. Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
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19. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
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20. Arbitrage-free bond pricing with dynamic macroeconomic models. (2007). Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton ; Gallmeyer, Michael.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:305-326:n:v.89no.4.

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21. Commentary on \\Macroeconomic implications of changes in the term premium\\. (2007). Cochrane, John.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:271-282:n:v.89no.4.

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22. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:241-270:n:v.89no.4.

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23. What does the yield curve tell us about the Federal Reserves implicit inflation target?. (2007). Doh, Taeyoung.
    In: Research Working Paper.
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24. On forecasting the term structure of credit spreads. (2007). Thomson, James ; Ritchken, Peter H. ; C. N. V. Krishnan, .
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25. The role of no-arbitrage on forecasting: lessons from a parametric term structure model. (2007). Vicente, José Valentim ; Almeida, Caio.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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26. Inflation risk premia in the term structure of interest rates. (2007). Tristani, Oreste ; Hördahl, Peter ; Hordahl, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007734.

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27. Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6206.

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28. An affine macro-factor model of the UK yield curve. (2007). Lildholdt, Peter ; Panigirtzoglou, Nikolaos ; Peacock, Chris .
    In: Bank of England working papers.
    RePEc:boe:boeewp:322.

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29. Term Structure Transmission of Monetary Policy. (2007). Kozicki, Sharon.
    In: Staff Working Papers.
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30. A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate. (2007). Yang, Jun ; Chabi-Yo, Fousseni.
    In: Staff Working Papers.
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31. IMPACT OF MACRO SHOCKS ON SOVEREIGN DEFAULT PROBABILITIES. (2007). Matsumura, Marco S..
    In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting].
    RePEc:anp:en2007:060.

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32. The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules. (2006). Vázquez, Jesús.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:6.

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33. The term structure of inflation risk premia and macroeconomic dynamics. (2006). Vestin, David ; Tristani, Oreste ; Hördahl, Peter ; Hrdahl, Peter.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:203.

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34. Macroeconomic Models and the Yield Curve. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:105.

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35. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration. (2006). Diebold, Francis ; Ji, Lei ; Li, Canlin.
    In: PIER Working Paper Archive.
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36. A joint model for the term structure of interest rates and the macroeconomy. (2006). Maes, Konstantijn ; Lyrio, Marco ; Dewachter, Hans.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:4:p:439-462.

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37. Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework. (2006). Wickens, Michael ; Balfoussia, Hiona.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:11:y:2006:i:3:p:261-277.

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38. How professional forecasters view shocks to GDP. (2006). Krane, Spencer.
    In: Working Paper Series.
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39. Macroeconomic implications of changes in the term premium. (2006). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Working Paper Series.
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40. The bond yield \conundrum\ from a macro-finance perspective. (2006). Wu, Tao ; Swanson, Eric ; Rudebusch, Glenn.
    In: Working Paper Series.
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41. A factor risk model with reference returns for the US dollar and Japanese yen bond markets. (2006). Nyholm, Ken ; Coche, Joachim ; Bernadell, Carlos .
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42. New-Keynesian Macroeconomics and the Term Structure. (2006). Moreno, Antonio ; Cho, Seonghoon ; Bekaert, Geert.
    In: CEPR Discussion Papers.
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43. Macroeconomic Models and the Yield Curve: An assessment of the Fit. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Cambridge Working Papers in Economics.
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44. Modelling Term-Structure Dynamics for Risk Management: A Practitioners Perspective. (2006). Bolder, David.
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45. Can Affine Term Structure Models Help Us Predict Exchange Rates?. (2006). Diez de los Rios, Antonio.
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46. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
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47. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
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48. What Does the Yield Curve Tell us about GDP Growth?. (2004). Wei, Min ; Piazzesi, Monika ; Ang, Andrew ; Piazessi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10672.

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49. Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model. (2004). Ichiue, Hibiki.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:581.

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50. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:307.

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