The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...

Two novel models specify interest rates from factors other than time to demonstrate bond market expectations of riskless rates converge to the natural rate of interest.The first yield curve model is based upon risk rather than time. The riskless rate is the incremental yield for an infinitesimal...