When there is a sustained change in required excess returns relative to T-bills, investors often miss structural or quasi-structural changes in risk premia and base their decisions on a biased valuation methodology. We consider this recurring weakness of the fundamentalist approach as a major source of market instability.
The confusing behavior of the US Treasuries market illustrates this phenomenon well.
Here is the paper that addresses the issue using a new US yield curve model:
Here is a non-technical presentation of the model and its implications: