Skip to Main Content
Powered by QUBES

Resources

Resource Image
Potential Scenario

Download

Browse Files

2005-DieboldEtAl-Modeling Bond Yields In Finance And Macroeconomics

Author(s): F X Diebold

NA

Keywords: finance interest rate bond yield macroeconomics

156 total view(s), 56 download(s)

Download

Browse Files

Abstract

Resource Image 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.

Citation

Researchers should cite this work as follows:

Article Context

Resource Type
Differential Equation Type
Technique
Qualitative Analysis
Application Area
Course
Course Level
Lesson Length
Technology
Approach
Skills

Description

2005-DieboldEtAl-ModelingBondYieldsInFinanceAndMacroeconomics

Diebold, F. X., Minika Piazzeai, and Glenn D. Rudebusc. 2005. Modeling Bond Yields in Finance and Macroeconomics. Federal Reserve Bank of San Francisco. Working Paper 2005-4. 

See http://www.frbsf.org/publications/economics/papers/2005/wp05-04bk.pdf . Accessed 27 March 2023.

Abstract: 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 affine no-arbitrage term structure models.

 

Article Files

Authors

Author(s): F X Diebold

NA

Comments

Comments

There are no comments on this resource.