A joint model for the term structure of interest rates and the macroeconomy
提出并估计了一个包含可观测宏观经济变量和具有明确经济含义的潜变量的连续时间期限结构模型，能准确描述美国宏观经济变量与收益率曲线的联合动态，但可观测变量无法解释期限结构的长端，而潜变量在描述利率政策规则和风险溢价中起重要作用。
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 curve. However, the observable variables do not explain the long end of the term structure. Central tendencies of these macroeconomic variables do a much better job in this respect. These unobservable factors also play an important role in the description of the interest rate policy rule. Both observable and non‐observable factors determine the risk premia and hence bond excess holding returns. Copyright © 2006 John Wiley & Sons, Ltd.