Title: The information in the joint term structures of bond yields
Authors: Andrew Meldrum - Board of Governors of the Federal Reserve System (United States) [presenting]
Abstract: While standard no-arbitrage term structure models are estimated using nominal yields from a single country, a growing literature estimates joint models of yields in multiple countries or nominal and real yields from a single country. However, it is argued that in two of the most common applications joint modeling appears to be unnecessary. Joint models of U.S. and German nominal yields do not offer economically significant advantages in fitting the cross-section of yields, or predicting future yields. We obtain similar results for joint models of U.S. nominal and real yields. Thus, we lose little if we simply estimate separate models of those yields.