Modeling Bond Yields in Finance and Macroeconomics

Francis Diebold (), Monika Piazzesi () and Glenn Rudebusch ()

No 2005/03, CFS Working Paper Series from Center for Financial Studies

Abstract: 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.

Keywords: Term structure; yield curve; Nelson-Siegel model; affine equilibrium model (search for similar items in EconPapers)
JEL-codes: G1 E4 E5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-fmk, nep-mac and nep-mon
Date: 2005-01-03
View list of references View citations in EconPapers

Downloads: (external link)
http://www.ifk-cfs.de/fileadmin/downloads/publications/wp/05_03.pdf (application/pdf)

Related works:
Working Paper: Modeling bond yields in finance and macroeconomics (2005)
Working Paper: Modeling Bond Yields in Finance and Macroeconomics (2005)
Working Paper: Modeling Bond Yields in Finance and Macroeconomics (2005)
Journal Article: Modeling Bond Yields in Finance and Macroeconomics (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cfs:cfswop:wp200503

Access Statistics for this paper

More papers in CFS Working Paper Series from Center for Financial Studies
Contact information at EDIRC.
Series data maintained by Birgit Pässler ().