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| Title: | | Pricing the term structure with linear regressions  |
| Authors: | | Adrian, Tobias Moench, Emanuel |
| Issue Date: | | 2008 |
| Series/Report no.: | | Staff Report, Federal Reserve Bank of New York 340 |
| Abstract: | | We show how to price the time series and cross section of zero coupon bonds via ordinary least squares regressions. Our approach allows computationally fast estimation of term structure models with a large number of pricing factors. Even though we do not impose cross-equation restrictions in the estimation, we show that our return regressions generate a term structure of interest rates with small pricing errors compared to commonly reported specifications, both in and out-of-sample. |
| Subjects: | | Term structure of interest rates fama-macbeth regressions |
| JEL: | | G10 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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