The article explores how people's expectations about the economy affect long-term bond prices. They found that expected term premiums on bonds change over time and are linked to predictions about future economic growth. Uncertainty about future economic growth and inflation also plays a role in determining bond term premiums. Real economic factors are more important than nominal ones in shaping these expectations. The shape of the yield curve reflects uncertainty about both real and nominal economic prospects. Overall, forecasters' expectations about bond term premiums can predict bond returns over the next year.