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I estimate a term structure model of Treasury yields in which traders’ informa- tion about macroeconomic conditions is dispersed. Bond yields and inflation forecasts identify properties of traders’ information. I find that prices are moderately infor- mative about economic fundamentals, but more informative about policy and others’ beliefs. Nevertheless, beliefs about the macroeconomy are estimated to be quite het- erogeneous. Over the sample period, dispersed beliefs directly added an average of 60 basis points to ten year yields, mostly attribute to disagreement about the Federal Re- serve’s inflation target. Accounting for learning and belief heterogeneity dramatically reduces the magnitude and volatility of risk premia relative to estimates that assume full information.

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