کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097582 | 1478584 | 2006 | 40 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A joint econometric model of macroeconomic and term-structure dynamics
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A joint econometric model of macroeconomic and term-structure dynamics A joint econometric model of macroeconomic and term-structure dynamics](/preview/png/5097582.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 131, Issues 1â2, MarchâApril 2006, Pages 405-444
Journal: Journal of Econometrics - Volume 131, Issues 1â2, MarchâApril 2006, Pages 405-444
نویسندگان
Peter Hördahl, Oreste Tristani, David Vestin,