The Nobel Memorial Prize for Robert F. Engle



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.



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