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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11089 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | "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. |
| Physical Description: | 18 S. |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV019889904 | ||
| 003 | DE-604 | ||
| 005 | 20100219 | ||
| 007 | t | ||
| 008 | 050719s2005 xxu |||| 00||| eng d | ||
| 035 | |a (OCoLC)57703167 | ||
| 035 | |a (DE-599)BVBBV019889904 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-703 |a DE-521 |a DE-19 | ||
| 050 | 0 | |a HB1 | |
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 100 | 1 | |a Diebold, Francis X. |d 1959- |e Verfasser |0 (DE-588)123909104 |4 aut | |
| 245 | 1 | 0 | |a Modeling bond yields in finance and macroeconomics |c Francis X. Diebold ; Monika Piazzesi ; Glenn D. Rudebusch |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2005 | |
| 300 | |a 18 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 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 | |
| 650 | 4 | |a Interest rates |x Econometric models | |
| 700 | 1 | |a Piazzesi, Monika |e Verfasser |0 (DE-588)12883515X |4 aut | |
| 700 | 1 | |a Rudebusch, Glenn D. |d 1959- |e Verfasser |0 (DE-588)111298970 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11089 |w (DE-604)BV002801238 |9 11089 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w11089.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-013213928 | ||
Record in the Search Index
| _version_ | 1804133424197271552 |
|---|---|
| any_adam_object | |
| author | Diebold, Francis X. 1959- Piazzesi, Monika Rudebusch, Glenn D. 1959- |
| author_GND | (DE-588)123909104 (DE-588)12883515X (DE-588)111298970 |
| author_facet | Diebold, Francis X. 1959- Piazzesi, Monika Rudebusch, Glenn D. 1959- |
| author_role | aut aut aut |
| author_sort | Diebold, Francis X. 1959- |
| author_variant | f x d fx fxd m p mp g d r gd gdr |
| building | Verbundindex |
| bvnumber | BV019889904 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QB 910 |
| ctrlnum | (OCoLC)57703167 (DE-599)BVBBV019889904 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02199nam a2200385 cb4500</leader><controlfield tag="001">BV019889904</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100219 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">050719s2005 xxu |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)57703167</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV019889904</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Diebold, Francis X.</subfield><subfield code="d">1959-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)123909104</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Modeling bond yields in finance and macroeconomics</subfield><subfield code="c">Francis X. Diebold ; Monika Piazzesi ; Glenn D. Rudebusch</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">2005</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">18 S.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">11089</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rates</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Piazzesi, Monika</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)12883515X</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Rudebusch, Glenn D.</subfield><subfield code="d">1959-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)111298970</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">11089</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">11089</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w11089.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-013213928</subfield></datafield></record></collection> |
| 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 |
| open_access_boolean | 1 |
| owner | DE-703 DE-521 DE-19 DE-BY-UBM |
| owner_facet | DE-703 DE-521 DE-19 DE-BY-UBM |
| 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 |
| work_keys_str_mv | AT dieboldfrancisx modelingbondyieldsinfinanceandmacroeconomics AT piazzesimonika modelingbondyieldsinfinanceandmacroeconomics AT rudebuschglennd modelingbondyieldsinfinanceandmacroeconomics |