A joint econometric model of macroeconomic and term-structure dynamics

Autor:	Peter Hördahl, David Vestin, Oreste Tristani
Rok vydání:	2006
Předmět:	Economics and Econometrics State variable Econometric model Macroeconomic model Economic data Applied Mathematics Risk premium Econometrics Economics Yield curve Affine transformation Arbitrage
Zdroj:	Journal of Econometrics. 131:405-444
ISSN:	0304-4076
Popis:	We construct and estimate a tractable model of macroeconomic and yield curve dynamics. Bond yields are affine in the state variables of a forward-looking macromodel, and are derived assuming absence of arbitrage opportunities. Our approach allows us to interpret the dynamics of yields and risk premia in terms of macroeconomic fundamentals. In an application to German data, the forecasting performance of the model is often found to be superior to that of the best available alternatives in the affine class. Our approach has considerable success in accounting for features of the data that represent a puzzle for the expectations hypothesis.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::49afcee20cfb5bf95038bd2b01f95a46 https://doi.org/10.1016/j.jeconom.2005.01.012 Zobrazit plný text záznamu Full Text from ScienceDirect