The Determinants of the Treasury Security Yield Curve
用美国国债市场的结构模型，同时决定投资者的证券需求和收益率曲线上的两点，发现非收益率变量（如国债供给）对收益率曲线有显著但波动的影响，并与简单模型比较预测效果。
ABSTRACT Investors' security demands and two points on the yield curve are jointly determined using a disaggregated structural model of the U.S. Treasury securities market. The empirical results indicate that the structural model is capable of accurately explaining Treasury yields and that changes in a variety of nonyield variables affect the yield curve. Among these nonyield variables are Treasury security supplies, which are found to have significant but somewhat volatile impacts depending on investors' wealth flows. The within‐sample predictions from the structural model are also compared to those of a naive model.