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. JEL Klassifikation: G1, E4, E5.
| Author: | Francis X. Diebold, Monika Piazzesi, Glenn D. Rudebusch |
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| 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 |
| GND Keyword: | Zinsfuß |
| Issue: | January 2005 |
| HeBIS-PPN: | 197306594 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
