| Abstract : | The aim of the thesis is to provide new insights into the forecasting ability of the term structureof interest rates about future interest rate movements, real consumption growth, economicactivity and ination. After a brief review in term structure modeling, the thesis presents fourstudies in order to shed some light into these issues.In particular, it consists of four essays entitled: "Term spread regressions of the rationalexpectations hypothesis of the term structure allowing for risk premium e¤ects", "Real termstructure forecasts of consumption growth", "Forecasting economic activity from yield curvefactors", and "Forecasting ination from the term structure and the ination risk premia ef-fects".The thesis provides a number of interesting results for academics and practitioners. First, itshows that term premium e¤ects can explain the puzzles of Expectations Hypothesis to forecastfuture movements of interest rates. Second, the forecasting ability of the spread and the short-term rate in future real consumption growth can be attributed to two common factors spanningthe real term structure. Third, the curvature factor contains important information about theeconomic growth in short-term, independently of the slope factor. Fourth, the ination riskpremium can a¤ect the forecasting ability of the term spread about future ination in theshort-term.
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