TY  - UNPD
A1  - Diebold, Francis X.
A1  - Piazzesi, Monika
A1  - Rudebusch, Glenn D.
T1  - Modeling Bond yields in finance and macroeconomics
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,03
N2  - 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.
T3  - CFS working paper series - 2005, 03 
KW  - term structure
KW  - yield curve
KW  - Nelson-Siegel model
KW  - affine equilibrium model
KW  - Zinsfuß
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4420
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10812
IS  - January 2005
ER  -