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The macroeconomy and the yield curve: a dynamic latent factor approach
| Content Provider | Semantic Scholar |
|---|---|
| Author | Diebold, Francis X. Rudebusch, Glenn D. Aruoba, S. Boragan |
| Copyright Year | 2004 |
| Abstract | 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. |
| Starting Page | 309 |
| Ending Page | 338 |
| Page Count | 30 |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.562503 |
| Volume Number | 131 |
| Alternate Webpage(s) | http://web.econ.unito.it/bagliano/ecmon2/dieboldrudar_joe06.pdf |
| Alternate Webpage(s) | https://www.ucm.es/data/cont/media/www/pag-41460/Diebold%20ETTI%20macro%20factors.pdf |
| Alternate Webpage(s) | https://www.nber.org/papers/w10616.pdf |
| Alternate Webpage(s) | http://www.ssc.upenn.edu/~fdiebold/papers/paper55/DRAfinal.pdf |
| Alternate Webpage(s) | http://www.ucm.es/info/ecocuan/anc/Diebold%20ETTI%20macro%20factors.pdf |
| Alternate Webpage(s) | http://finance.wharton.upenn.edu/~rlwctr/papers/0416.pdf |
| Alternate Webpage(s) | https://www.frbsf.org/economic-research/files/wp03-18bk.pdf |
| Alternate Webpage(s) | http://www.frbsf.org/economic-research/files/wp03-18bk.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.562503 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
