Macroeconomic theory suggests that aggregate demand for goods and services is a key determinant of interest rates. Interest rates regulate demand strength or weakness through market-based financing conditions and central-bank reaction functions. If financial markets do not immediately incorporate all information contained in macroeconomic trends, excess-demand pressures should help predict subsequent movements in interest rates and the yield curve. This article provides supporting evidence across 20 developed and emerging-market currency areas since the beginning of the century. We approximate excess-demand pressure using four point-in-time macroeconomic factors. Both the composite score and its individual components have been statistically significant predictors of duration and curve-flattening returns.  […]