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 …

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 …

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 …

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 examines the empirical properties of a two-factor affine model of the term
structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 …

Since the seminal papers by Vasicek (1977) and Cox, Ingersoll, and Ross (1985), there is a
consensus in the finance literature that term structure models should respond to three …

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 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 …

Recent empirical research shows that a reasonable characterization of federal-funds-rate
targeting behavior is that the change in the target rate depends on the maturity structure of …