A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Journal of Monetary Economics

Volumn 50, Issue 4, 2003, Pages 745-787

  Ang, Andrew ^a,b   Piazzesi, Monika ^b,c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Determination of interest rates; Estimation; Financial markets and the macroeconomy; Monetary policy; Time series models

Indexed keywords

EID: 0037905686     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-3932(03)00032-1     Document Type: Article

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