Francis X. Diebold () (Department of Economics, University of Pennsylvania, Philadelphia, PA 19104) Monika Piazzesi () (Graduate School of Business, University of Chicago, Chicago IL 60637) Glenn D. Rudebusch () (Economic Research, Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco CA 94105)
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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.
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Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number
2005/03.
Length: 22 pages Date of creation: 03 Jan 2005 Date of revision: Handle: RePEc:cfs:cfswop:wp200503
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Find related papers by JEL classification: G1 - Financial Economics - - General Financial Markets E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Andrew Ang & Sen Dong & Monika Piazzesi, 2005.
"No-arbitrage Taylor rules,"
Proceedings,
Federal Reserve Bank of San Francisco.
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