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| Pricing the Term Structure with Linear Regressions
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| August 2008 Number
340 Revised February 2010 |
| JEL classification: G10, G12 |
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Authors: Tobias Adrian and Emanuel Moench We estimate the time series and cross section of Treasury returns via three-step ordinary least squares. Our approach allows computationally fast estimation of term structure models with a large number of pricing factors. Even though we do not impose yield cross-equation restrictions in the estimation, we show that our return regressions generate a term structure of interest rates with small yield errors compared with commonly reported specifications, both in- and out-of-sample. |
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