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Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

✍ Scribed by Koopman, Siem Jan; van der Wel, Michel

Book ID
122890650
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
833 KB
Volume
29
Category
Article
ISSN
0169-2070

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## Abstract This article presents a two‐factor model of the term structure of interest rates. It is assumed that default‐free discount bond prices are determined by the time to maturity and two factors, the long‐term interest rate, and the spread (i.e., the difference) between the short‐term (insta