@Article{mfj:787,
title={An Admissible Macro-Finance Model of the US Treasury Market},
author={Peter Spencer},
journal={Multinational Finance Journal},
volume={13},
number={1/2},
pages={1--38},
year=2009,
publisher={Multinational Finance Society; Global Business Publications},
url={http://www.mfsociety.org/../modules/modDashboard/uploadFiles/journals/MJ~766~p16ueel3hotrq761qch1ib21ui94.pdf}
keywords={n/a},
abstract={This paper develops a macro-finance model of the yield curve and uses this to explain the behavior of the US Treasury market. Unlike previous macro-finance models which assume a homoscedastic error process and suppose that the one-period return is directly observable, I develop a general affine model which relaxes these assumptions. My empirical specification uses a single conditioning factor and is thus the macro-finance analogue of the EA1(N) specification of the mainstream finance literature. This model provides a decisive rejection of the standard EA0(N) macro-finance specification. The resulting specification provides a flexible 10-factor explanation of the behavior of the US yield curve, keying it in to the behavior of the macroeconomy. .},
}