Modeling Bond Yields in Finance and Macroeconomics / Francis X. Diebold, Monika Piazzesi, Glenn Rudebusch.

Format:

Book

Author/Creator:

Diebold, Francis X.

Contributor:

National Bureau of Economic Research.

Piazzesi, Monika.

Rudebusch, Glenn.

Series:

Working Paper Series (National Bureau of Economic Research) no. w11089.

NBER working paper series no. w11089

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2005.

Summary:

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.

Notes:

Print version record

January 2005.