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Furthermore, the model\u2010implied risk premiums account for up to 40% of the variability of one\u2010 and two\u2010year excess returns. Using the model to decompose yield spreads into an expectations and a term premium component, we find that, although this decomposition does not seem important to forecast economic activity, it is crucial to forecast inflation for most forecasting horizons. Copyright \u00a9 2012 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2305","type":"journal-article","created":{"date-parts":[[2012,10,16]],"date-time":"2012-10-16T01:26:21Z","timestamp":1350350781000},"page":"42-64","source":"Crossref","is-referenced-by-count":24,"title":["INFORMATION IN THE YIELD CURVE: A MACRO\u2010FINANCE APPROACH"],"prefix":"10.1002","volume":"29","author":[{"given":"Hans","family":"Dewachter","sequence":"first","affiliation":[{"name":"National Bank of Belgium  Brussels Belgium"},{"name":"Center for Economic Studies University of Leuven  Belgium"},{"name":"CESifo  Munich Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Leonardo","family":"Iania","sequence":"additional","affiliation":[{"name":"National Bank of Belgium  Brussels Belgium"},{"name":"Louvain School of Management (UCL)  Louvain\u2010la\u2010Neuve Belgium"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Marco","family":"Lyrio","sequence":"additional","affiliation":[{"name":"Insper Institute of Education and Research  S\u00e3o Paulo Brazil"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2012,10,16]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00032-1"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.032"},{"issue":"1","key":"e_1_2_7_4_1","first-page":"2","article-title":"Are Phillips curves useful for forecasting inflation?","volume":"25","author":"Atkeson A","year":"2001","journal-title":"Federal Reserve Bank of Minneapolis Quarterly Review"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2009.00277.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1353\/eca.2005.0002"},{"key":"e_1_2_7_7_1","doi-asserted-by":"crossref","unstructured":"ChristensenJHE LopezJA RudebuschGD.2009.Do central bank liquidity facilities affect interbank lending rates?Working Paper Series 2009\u201013 Federal Reserve Bank of San Francisco.","DOI":"10.2139\/ssrn.1361908"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/0002828053828581"},{"key":"e_1_2_7_9_1","doi-asserted-by":"crossref","unstructured":"CochraneJH PiazzesiM.2009.Decomposing the yield curve. 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