Lu, Biao; Wu, Liuren - In: Journal of Monetary Economics 56 (2009) 6, pp. 872-884
We extract two systematic economic factors from a wide array of noisy and sparsely observed macroeconomic releases, and link the dynamics and market prices of the two factors to the interest rate term structure. The two factors predict 77.9-82.1% of the daily variation in LIBOR and swap rates...