Title: A joint model for the term structure of interest rates and the macroeconomy
Authors: Dewachter, Hans ×
Lyrio, M
Maes, Konstantijn #
Issue Date: May-2006
Publisher: John wiley & sons ltd
Series Title: Journal of applied econometrics vol:21 issue:4 pages:439-462
Abstract: We present and estimate a continuous time term structure, model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield curve. However, the observable variables do not explain the long end of the term structure. Central tendencies of these macroeconomic variables do a much better job in this respect. These unobservable factors also play an important role in the description of the interest rate policy rule. Both observable and non-observable factors determine the risk premia and hence bond excess holding returns. Copyright (c) 2006 John Wiley & Sons, Ltd.
ISSN: 0883-7252
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of International Economics, Leuven
Department of Economics, Leuven - miscellaneous
× corresponding author
# (joint) last author

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