0
$\begingroup$

There is a huge literature modelling the yield curve. For instance, the affine term structure literature, both in continuous and in discrete time, has many models with different factors, models that have micro foundations, pure forecasting models, etc.

What would be your favorite textbook when it comes to interest rate modelling and its connections to macroeconomics? Suppose you're picking a book to teach a PhD-level class with it.

Improve this question
$\endgroup$
3
  • $\begingroup$ I think the lack of response is probably because of the second requirement being "and its connection to macro-economics". That connection might be tackled in papers rather than texts ? That's just a guess. I have close to zero formal background in both fields. but somewhat famiiar with textbooks in both fields. $\endgroup$ Commented Jul 30, 2024 at 4:38
  • $\begingroup$ @markleeds that makes sense. A lot of interest modelling is done my people in Financial Math with a focus on pricing derivatives etc. And lots of Macro models are not super realistic regarding term structure stuff. $\endgroup$ Commented Jul 30, 2024 at 13:07
  • $\begingroup$ yeah. I would google for what you're looking for. It may come up in a paper. $\endgroup$ Commented Jul 30, 2024 at 15:36

0

Reset to default

Start asking to get answers

Find the answer to your question by asking.

Ask question

Explore related questions

See similar questions with these tags.