14
12
10
8
6
4
6
4
2
0
-2
Figure 7
Model-Based Level, Slope and Curvature (i.e., Estimated Factors)
vs. Data-Based Level, Slope and Curvature
Solid Line: βι r Dotted Line: Level
86 88 90 92 94 96 98 00
Solid Line: -β2t Dotted Line: Slope
2
-2 -I----------------1-----------------1-----------------1-----------------1---------------->-----------------1-----------------1---------------->-----------------1---------------->---------------->-----------------1---------------->---------------->----------------F
86 88 90 92 94 96 98 00
л
Solid Line: 0.3 β31 Dotted Line: Curvature
Notes to Figure 7: We define the level as the 10-year yield, the slope as the difference between the 10-year
and 3-month yields, and the curvature as the twice the 2-year yield minus the sum of the 3-month and 10-
year yields.