Modeling bond yields in finance and macroeconomics
By: Francis X. Diebold, Monika Piazzesi, Glenn Rudebusch.
Contributors: Piazzesi, Monika.; Rudebusch, Glenn D., 1959-; National Bureau of Economic Research.
Series: NBER working paper series -- no. 11089.; Working paper series (National Bureau of Economic Research) -- working paper no. 11089.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 18
Subjects: Interest rates -- Econometric models
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 affne no-arbitrage term structure models"--National Bureau of Economic Research web site.
Notes: "January 2005."

Includes bibliographical references (p. 12-13).

Also available in PDF from the NBER world wide web site (www.nber.org).