I have a question regarding the computation of the yield curve or the term structure of interest rates using Dynare solution.
Typically, the interest rate of a one-period zero coupon bond can be computed as:
1/exp(r) = exp(m(+1));
where m is the stochastic discount factor. If we want to compute the interest rate of a two-period zero coupon bond, it can be computed as:
M2 = m(+1);
1/exp(r2*2) = exp(m(+1)+M2(+1));
However, this gives r2 = r, despite the model being solved using 3rd order in Dynare, which should result in a term structure of interest rates.
My question is: is it possible to compute the yield curve or the term structure of interest rates correctly in Dynare?
In addition, I am wondering if there are any differences between Dynare and Dynare++ for version 5.3. I have the impression that Dynare++ has been fully incorporated into Dynare, is that correct? Could the above issue be related to the differences between the two programs?