@techreport{NBERw11089,
 title = "Modeling Bond Yields in Finance and Macroeconomics",
 author = "Francis X. Diebold and Monika Piazzesi and Glenn Rudebusch",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "11089",
 year = "2005",
 month = "January",
 URL = "http://www.nber.org/papers/w11089",
 abstract = {From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint macro-finance modeling strategy will provide the most comprehensive understanding of the term structure of interest rates. We discuss various questions that arise in this research, and we also present a new examination of the relationship between two prominent dynamic, latent factor models in this literature: the Nelson-Siegel and affne no-arbitrage term structure models.},
}