Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60737
Authors: 
Adrian, Tobias
Moench, Emanuel
Year of Publication: 
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

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