𝔖 Bobbio Scriptorium
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Corrections and additions to ‘a nonlinear equilibrium model of the term structure of interest rates’

✍ Scribed by David Beaglehole; Mark Tenney

Book ID
113312149
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
458 KB
Volume
32
Category
Article
ISSN
0304-405X

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A joint model for the term structure of
A joint model for the term structure of interest rates and the macroeconomy
✍ Hans Dewachter; Marco Lyrio; Konstantijn Maes 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 334 KB 👁 2 views

## 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 cu