The macroeconomy and the yield curve: a nonstructural analysis
- 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.
Author: | Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba |
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URN: | urn:nbn:de:hebis:30-10365 |
Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,31 |
Series (Serial Number): | CFS working paper series (2003, 31) |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2003 |
Year of first Publication: | 2003 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2005/06/13 |
Tag: | Yield curve; factor model; interest rates; macroeconomic fundamentals; state-space model; term structure |
GND Keyword: | Zinsertragskurve |
Issue: | This revision/print: October 21, 2003 |
HeBIS-PPN: | 20380337X |
Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
JEL-Classification: | C Mathematical and Quantitative Methods / C5 Econometric Modeling |
Licence (German): | Deutsches Urheberrecht |