This paper introduces global factors within a FAVAR framework in an empirical affine term
structure model. We apply our method to a panel of international yield curves and show that …

This paper presents an essentially affine model of the term structure of interest rates making
use of macroeconomic factors and their long-run expectations. The model extends the …

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 …

This paper extends a popular no‐arbitrage affine term structure model to jointly model bond
markets and exchange rates across the UK, USA and euro area. Using a monthly data set of …

Modeling the joint term structure of interest rates in the United States and the European
Union, the two largest economies in the world, is extremely important in international …

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 …

We present and estimate a parsimonious continuous0time multi0factor affine term structure
model for the joint term structure dynamics of interest rates across countries. We extend the …

Many continuous-time term structure of interest rate models assume a factor structure where
the drift and volatility functions are affine functions of the state-variable process. These …

Publisher Summary The quest for understanding what moves bond yields has produced an
enormous literature with its own journals and graduate courses. Those who want to join the …

No-arbitrage term structure models are becoming increasingly important to policy makers
and practitioners alike. Several factors justify this trend. First, modeling progress has been …