Figures
1.1 Bond Yields in Three Dimensions
6
1.2 Bond Yields in Two Dimensions
9
1.3 Bond Yield Principal Components
10
1.4 Empirical Level, Slope, and Curvature and First Three Principal Components of Bond Yields
12
2.1 DNS Factor Loadings
28
2.2 Out-of-Sample Forecasting Performance: DNS vs. Random Walk
53
4.1 DNSS Factor Loadings
107
4.2 DGNS Factor Loadings
108
5.1 Nominal and Real Yields and BEI Rates
136
5.2 BEI Rates and Expected Inflation
137
5.3 Probabilities of Nonpositive Net Inflation
138
5.4 LIBOR Spreads
143
Tables
1.1 Bond Yield Statistics
7
1.2 Yield Spread Statistics
8
1.3 Yield Principal Components Statistics
11
3.1 AFNS Parameter Restrictions on the Canonical A0(3) Model
86
3.2 Out-of-Sample Forecasting Performance: Four DNS and AFNS Models
91
3.3 Out-of-Sample Forecasting Performance: Random Walk, A0(3), and AFNSindep
92