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Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25448
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| Title: | | Modeling bond yields in finance and macroeconomics  |
| 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 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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