MATLAB Programs for “Equilibrium Yield Curves”, NBER Macroannual 2006

• Zip file with the programs for this paper.
• Unzip these programs into a directory. The two main programs are “yieldprogram_benchmark” and “yieldprogram_largeinfo” which estimate the benchmark model (with consumption growth and inflation in the VAR) and the large-information-set model (with consumption growth, inflation, the short rate and the spread in the VAR). The programs with “appendix” in the name give you results that are reported for these two models in the appendix.
• Please let me know if programs are missing.