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We examine the yield curve behavior and the relative performance of affine term structure models using government bond yield data from Canada, Germany, Japan, UK, and US. We find strong predictability of forward rates for excess bond returns across all five countries but fail to reject the expectations hypothesis in three out of the five countries. A three-factor model is sufficient to capture movements in the yield curve of Canada, Japan, UK, and US, but may not be enough for Germany. Andoi:10.1017/s0022109000002180 fatcat:6shybp245bcwzdw4y2qxnqbuyy