The primary objective of this paper is to compare a variety of joint models of the term
structure of interest rates and the macroeconomy. To this end, we consider six alternative …

This dissertation examines the relationship between the term structure of interest rates and
the macro economy. In the first chapter an affine term structure model of bond yields is …

We present and estimate a continuous time term structure model that incorporates
observable macroeconomic variables and latent variables with a clear macroeconomic …

During the past decade, much new research has combined elements of finance, monetary
economics and macroeconomics in order to study the relationship between the term …

The expectations model of the term structure states that the yields to maturity of long-term
bonds are equal to the average of expected future short-term bond yields. This venerable …

We explore the role of evolving beliefs regarding the structure of the macroeconomy in
improving our understanding of the term structure of interest rates within the context of a …

This article develops and estimates a macro‐finance model that combines a canonical affine
no‐arbitrage finance specification of the term structure of interest rates with standard …

This paper proposes and implements a parsimonious three-factor model of the term
structure whose dynamics is driven uniquely by observable state variables. This approach …

This paper models the evolution of monetary policy, the term structure of interest rates and
the UK economy across policy regimes. We model the interaction between the …

Using a simple single-equation approach, many studies have shown that the term structure
of interest rates or its approximation-the term spread is a potentially useful indicator of future …