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Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy
Hans Dewachter / Konstantijn Maes / Marco Lyrio
econometrics / fixed incomeResource overview

Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy

Paper2001

by Hans Dewachter, Konstantijn Maes, Marco Lyrio

Tags
econometricsfixed incomeinterest ratesterm structure models

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Suggested foundations for rates and fixed income and financial time series. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  4. Linear Regression

    Read the fitted relationship and its residuals.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

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