The macroeconomy and the yield curve
a dynamic latent factor approach
by Francis X. Diebold
"We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity, inflation, and the monetary policy instrument). 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 evidence for a reverse influence as well. We also relate our results to the expectations hypothesis"--National Bureau of Economic Research web site.
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Interest rate futures, Macroeconomics| Edition | Availability |
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1
The macroeconomy and the yield curve: a dynamic latent factor approach
2004, National Bureau of Economic Research
in English
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The macroeconomy and the yield curve: a dynamic latent factor approach
2004, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 1/11/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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