Modeling bond yields in finance and macroeconomics:
"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-fina...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11089 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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"--National Bureau of Economic Research web site. |
| Beschreibung: | 18 S. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11089 | |
| 520 | 3 | |a "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"--National Bureau of Economic Research web site. | |
| 650 | 4 | |a Ökonometrisches Modell | |
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| 700 | 1 | |a Piazzesi, Monika |e Verfasser |0 (DE-588)12883515X |4 aut | |
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Datensatz im Suchindex
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| author | Diebold, Francis X. 1959- Piazzesi, Monika Rudebusch, Glenn D. 1959- |
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| id | DE-604.BV019889904 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T20:08:30Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013213928 |
| oclc_num | 57703167 |
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| physical | 18 S. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Diebold, Francis X. 1959- Verfasser (DE-588)123909104 aut Modeling bond yields in finance and macroeconomics Francis X. Diebold ; Monika Piazzesi ; Glenn D. Rudebusch Cambridge, Mass. National Bureau of Economic Research 2005 18 S. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11089 "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"--National Bureau of Economic Research web site. Ökonometrisches Modell Interest rates Econometric models Piazzesi, Monika Verfasser (DE-588)12883515X aut Rudebusch, Glenn D. 1959- Verfasser (DE-588)111298970 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11089 (DE-604)BV002801238 11089 http://papers.nber.org/papers/w11089.pdf kostenfrei Volltext |
| spellingShingle | Diebold, Francis X. 1959- Piazzesi, Monika Rudebusch, Glenn D. 1959- Modeling bond yields in finance and macroeconomics National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Interest rates Econometric models |
| title | Modeling bond yields in finance and macroeconomics |
| title_auth | Modeling bond yields in finance and macroeconomics |
| title_exact_search | Modeling bond yields in finance and macroeconomics |
| title_full | Modeling bond yields in finance and macroeconomics Francis X. Diebold ; Monika Piazzesi ; Glenn D. Rudebusch |
| title_fullStr | Modeling bond yields in finance and macroeconomics Francis X. Diebold ; Monika Piazzesi ; Glenn D. Rudebusch |
| title_full_unstemmed | Modeling bond yields in finance and macroeconomics Francis X. Diebold ; Monika Piazzesi ; Glenn D. Rudebusch |
| title_short | Modeling bond yields in finance and macroeconomics |
| title_sort | modeling bond yields in finance and macroeconomics |
| topic | Ökonometrisches Modell Interest rates Econometric models |
| topic_facet | Ökonometrisches Modell Interest rates Econometric models |
| url | http://papers.nber.org/papers/w11089.pdf |
| volume_link | (DE-604)BV002801238 |
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