We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The term structure in our model is determined through the interaction of risk-averse arbitrageurs and preferred-habitat investors with preferences for...

We estimate a structural term-structure model in which arbitrageurs accommodate demand pressures exerted by domestic and foreign official investors, as well as supply pressures. These pressures can affect real rates by altering the aggregate price of duration risk, thus through changes in bond...

This paper combines a structural vector autoregression (SVAR) with a no-arbitrage approach to build a multifactor affine term structure model (ATSM). The resulting no-arbitrage structural vector autoregressive (NA-SVAR) model implies that expected excess returns are driven by the structural...