Modeling bond yields in finance and macroeconomics

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CFS Working Paper ; No. 2005/03

Classification and Topics

• Classification: Wirtschaft
• Subject: Term structure ; yield curve ; Nelson-Siegel model ; affine equilibrium model ; Zinsstrukturtheorie ; Zinsstruktur

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Diebold, Francis X. ; Piazzesi, Monica ; Rudebusch, Glenn D.
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (where): Frankfurt a. M.
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/25448
• URN: urn:nbn:de:hebis:30-10812
• Last update: 10.03.2025, 11:43 AM CET