Economics at your fingertips  

Two Factors along the Yield Curve

Fangxiong Gong and Eli Remolona ()

The Manchester School of Economic & Social Studies, 1997, vol. 65, issue 0, 1-31

Abstract: Are all two-factor, term-structure models the same? The authors specify three models and estimate each on different parts of the U.S. yield curve. The exercise provides insights on reconciling the term structure's time series with its cross section and on relating it to fundamentals. The authors' evidence favors models where one factor reverts to a time-varying mean. One such model explains shorter-term yields and another longer-term yields. The models differ primarily because mean reversion is much faster near the yield curve's short end than near its long end. The factors seem to capture mean reversion in inflation and the Fed's target rate. Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Two factors along the yield curve (1996) Downloads
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:

Access Statistics for this article

More articles in The Manchester School of Economic & Social Studies from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2021-05-15
Handle: RePEc:bla:manch2:v:65:y:1997:i:0:p:1-31