Modeling Bond yields in finance and macroeconomics

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 sho
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. JEL Klassifikation: G1, E4, E5. 
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Metadaten
Author:Francis X. Diebold, Monika Piazzesi, Glenn D. Rudebusch
URN:urn:nbn:de:hebis:30-10812
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,03
Series (Serial Number):CFS working paper series (2005, 03)
Document Type:Working Paper
Language:English
Year of Completion:2005
Year of first Publication:2005
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2005/06/13
Tag:Nelson-Siegel model ; affine equilibrium model; term structure ; yield curve
SWD-Keyword:Zinsfuß
Issue:January 2005
HeBIS PPN:197306594
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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