Modeling bond yields in finance and macroeconomics
By: Francis X. Diebold, Monika Piazzesi, Glenn D. Rudebusch.
Contributors: Piazzesi, Monika.; Rudebusch, Glenn D., 1959-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11089; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11089.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Interest rates -- Mathematical models.; Bonds -- Mathematical 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: Includes bibliographical references.
Title from PDF file as viewed on 2/14/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.