Modeling bond yields in finance and macroeconomics

Francis Diebold, Monica Piazzesi and Glenn Rudebusch

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

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: E4 E5 G1 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (148)

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Related works:
Journal Article: 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)
Working Paper: Modeling Bond Yields in Finance and Macroeconomics (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200503

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