Resource title

Modeling bond yields in finance and macroeconomics

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image for OpenScout resource :: Modeling bond yields in finance and macroeconomics

Resource description

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.

Resource author

Francis X. Diebold, Monica Piazzesi, Glenn D. Rudebusch

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25448

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Adapt according to the presented license agreement and reference the original author.