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|Title:||Modeling bond yields in finance and macroeconomics |
|Authors:||Diebold, Francis X.|
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.|
affine equilibrium model
|Document Type:||Working Paper|
|Appears in Collections:||CFS Working Paper Series, Universität Frankfurt a. M.|
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