TY  - UNPD
A1  - Diebold, Francis X.
A1  - Rudebusch, Glenn D.
A1  - Aruoba, S. Boragan
T1  - The macroeconomy and the yield curve: a nonstructural analysis
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,31
N2  - We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a characterization of the dynamic interactions between the macroeconomy and the yield curve. We find strong evidence of the effects of macro variables on future movements in the yield curve and much weaker evidence for a reverse influence. We also relate our results to a traditional macroeconomic approach based on the expectations hypothesis.
T3  - CFS working paper series - 2003, 31 
KW  - Yield curve
KW  - term structure
KW  - interest rates
KW  - macroeconomic fundamentals
KW  - factor model
KW  - state-space model
KW  - Zinsertragskurve
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4465
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10365
IS  - This revision/print: October 21, 2003
ER  -