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.

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Metadaten
Author:Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba
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:Universit├Ątsbibliothek 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):License LogoDeutsches Urheberrecht