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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.
Struby, Ethan, "Macroeconomic Disagreement in Treasury Yields" (2018). Department of Economics Working Paper Series. 2.