Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25448 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
CFS Working Paper No. 2005/03
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Term structure
yield curve
Nelson-Siegel model
affine equilibrium model
JEL: 
G1
E4
E5
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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