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.
We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield facto...
In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic condit...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
Among a myriad of existing financial assets, a zero-coupon bond stands out for its simplicity. This ...
This paper provides an overview of the analysis of the term structure of interest rates with a speci...
In this paper we model and predict the term structure of US interest rates in a data-rich and unstab...
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of mode...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
Purpose: The macroeconomic models have had difficulties in matching the macroeconomic and financial ...
This paper attempts to provide an economic interpretation of the factors that drive the movements of...
This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrag...
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factor...
We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield facto...
In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic condit...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
Among a myriad of existing financial assets, a zero-coupon bond stands out for its simplicity. This ...
This paper provides an overview of the analysis of the term structure of interest rates with a speci...
In this paper we model and predict the term structure of US interest rates in a data-rich and unstab...
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of mode...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
Purpose: The macroeconomic models have had difficulties in matching the macroeconomic and financial ...
This paper attempts to provide an economic interpretation of the factors that drive the movements of...
This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrag...
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factor...
We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield facto...
In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic condit...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...