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Title:Pricing the term structure with linear regressions PDF Logo
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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