Hans Dewachter
;
Marco Lyrio
;
Konstantijn Maes

a joint model for the term structure of interest rates and the macroeconomy (replication data)

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.

Data and Resources

Suggested Citation

Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn (2006): A joint model for the term structure of interest rates and the macroeconomy (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022319.0711131368