Arbeitspapier
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 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper ; No. 2005/03
- Klassifikation
-
Wirtschaft
- Thema
-
Term structure
yield curve
Nelson-Siegel model
affine equilibrium model
Zinsstrukturtheorie
Zinsstruktur
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Diebold, Francis X.
Piazzesi, Monica
Rudebusch, Glenn D.
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2005
- Handle
- URN
-
urn:nbn:de:hebis:30-10812
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Diebold, Francis X.
- Piazzesi, Monica
- Rudebusch, Glenn D.
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2005
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