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http://hdl.handle.net/10419/25448
  
Title:Modeling bond yields in finance and macroeconomics PDF Logo
Authors:Diebold, Francis X.
Piazzesi, Monica
Rudebusch, Glenn D.
Issue Date:2005
Series/Report no.:CFS Working Paper 2005/03
Abstract:From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint macro-finance modeling strategy will provide the most comprehensive understanding of the term structure of interest rates. We discuss various questions that arise in this research, and we also present a new examination of the relationship between two prominent dynamic, latent factor models in this literature: the Nelson-Siegel and affine no-arbitrage term structure models.
Subjects:Term structure
yield curve
Nelson-Siegel model
affine equilibrium model
JEL:G1
E4
E5
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-10812
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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