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

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 …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

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 …

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 …

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 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 proposes a statistical model to adjust, interpolate, and forecast the term structure
of interest rates. The model is based on the extensions for the term structure model of …

Although the expectations theory is the dominant model of long-term interest rate
determination, empirical studies often reject its implications. Taking the theory as a …

We show how to price the time series and cross section of the term structure of interest rates
using a three-step linear regression approach. Our method allows computationally fast …