Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25448
Authors: 
Diebold, Francis X.
Piazzesi, Monica
Rudebusch, Glenn D.
Year of Publication: 
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: 
Document Type: 
Working Paper

Files in This Item:
File
Size
544.67 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.