The first Excel file "Complete data" contains the original Macrohistory data from Jorda, Schularick, and Taylor (2017) as well as the capital share database by Bengtsson and Waldenström (2017). The fi
We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of
Restrictions on the risk-pricing in dynamic term structure models (DTSMs) tighten the link between cross-sectional and time-series variation of interest rates, and make absence of arbitrage useful for
Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically.
French Treasury Nominal Zero-Coupon Yield Curves from October 22, 1987, through October 20, 2023. The file contains the French zero-coupon yield curves we can construct using a Svensson methodology an
