The conflicting results on the macroeconomy’s effects on the movement of the level of the yield curve (Ang and Piazzesi 2001 and Evans and Marshall 2001) suggest a rich field for future research. After all, it is difficult to believe that the structure of the macroeconomy has little effect on long-term interest rates or on the level of the yield curve, since long-term nominal interest rates are the sum of expected long-run inflation and long-term real interest rates.