• Media type: E-Book; Report
  • Title: Pricing the term structure with linear regressions
  • Contributor: Adrian, Tobias [Author]; Moench, Emanuel [Author]
  • imprint: New York, NY: Federal Reserve Bank of New York, 2008
  • Language: English
  • Keywords: G12 ; fama-macbeth regressions ; Term structure of interest rates ; G10
  • Origination:
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  • Description: We show how to price the time series and cross section of zero coupon bonds via ordinary least squares regressions. Our approach allows computationally fast estimation of term structure models with a large number of pricing factors. Even though we do not impose cross-equation restrictions in the estimation, we show that our return regressions generate a term structure of interest rates with small pricing errors compared to commonly reported specifications, both in and out-of-sample.
  • Access State: Open Access