Towards data-congruent models of the term structure of interest rates
展示了如何通过Pesaran的数据一致性方法，从随机动态优化推导出简约模型，从而有效分解债券收益率的预期短期利率和期限溢价，并改善美国短期利率预测和期限溢价的平稳性。
.Bond yields can be decomposed into two unobservable components: the expected sequence of short-term rates and term premia. The identification of these two components is crucial to understand bond pricing and the effect of monetary policy on the term structure of interest rates. This article illustrates how Pesaran’s prescription of congruency between the salient features of the data and the reduced form, explicitly derived from stochastic dynamic optimization, effectively facilitates the relevant decomposition. By examining the historical evolution of term structure models, we demonstrate that the chosen specifications have not consistently aligned with the data, presenting a missed opportunity. In fact, a data-congruent specification helps in improving forecasts of the dynamics of US short-term rates and generates stationary dynamics for the term premia.