Title: Modeling bond yields in finance and macroeconomics
First published: 2005
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.
Subjects: Interest rates, Mathematical models, Econometric models, Bonds
LC classification: HB1