Diebold, Francis X.
[VerfasserIn]
;
Piazzesi, Monika
[Sonstige Person, Familie und Körperschaft];
Rudebusch, Glenn D.
[Sonstige Person, Familie und Körperschaft]
Modeling Bond Yields in Finance and Macroeconomics
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2005 erstellt
Beschreibung:
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