CQER Working Papers
CQER Working Papers feature the research of visiting scholars and distinguished economists. The papers are intended to stimulate professional discussion and exploration of quantitative economic research.
This series has been discontinued. View our working papers series for the complete set of scholarly research from Atlanta Fed economists and visiting scholars.
2016
Apr 19, 2016
Affine Term Structure Pricing with Bond Supply as Factors
Fumio Hayashi
CQER Working Paper 16-01 (April)
The author investigates how the maturity structure of government debt affects the yield curve. He uses an affine term structure model in which the factors for the yield curve include the short rate and the government bond supply for each maturity.