Modeling Bond Yields in Finance and Macroeconomics

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

No 11089, NBER Working Papers from National Bureau of Economic Research, Inc

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 affne no-arbitrage term structure models.

JEL-codes: G1 E4 E5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-mac and nep-mon
Date: 2005-01
Note: AP EFG ME
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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)
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