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The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

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TLDR
In this paper, the authors estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also include observable macroeconomic variables (i.e., real activity, inflation, and monetary policy instrument).
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

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A macro-finance model of the term structure, monetary policy and the economy*

TL;DR: This article developed and estimated a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure with standard macroeconomic aggregate relationships for output and inflation.
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Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

TL;DR: This article quantified how variation in real economic activity and ination in the U.S. Treasury market inuenced the market prices of level, slope, and curvature risks.
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The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models

TL;DR: In this paper, the authors derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification and derive the canonical representation of the three-factor arbitrage free affine model.
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The Response of Interest Rates to US and UK Quantitative Easing

TL;DR: The authors decompose US and UK yields into expectations about future short-term interest rates and term premiums and find that declines in US yields mainly reflected lower expectations of future short term interest rates, while declines in UK yields appeared to reflect reduced term premiums.
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Parsimonious modeling of yield curves

TL;DR: JSTOR is an independent not-for-profit organization dedicated to and preserving a digital archive of scholarly journals as mentioned in this paper, which is used by the University of Chicago Press to publish the Journal of Business.
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Term Premia and Interest Rate Forecasts in Affine Models

TL;DR: The authors examined the forecasting ability of the affine class of term structure models, where the cross-sectional and time-series characteristics of the term structure are linked in an internally consistent way.
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The Information in Long-Maturity Forward Rates

TL;DR: In this article, 1-year forward rates on 1- to 5-year U.S. Treasury bonds are used to forecast changes in the 1-to-5-year interest rate 2-to l-years ahead, and forecast power increases with the forecast horizon.
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Forecasting Output and Inflation: The Role of Asset Prices

TL;DR: The authors examined the predictive performance of asset prices for inflation and real output growth in seven OECD countries for a span of up to 41 years (1959 1999) and concluded that good forecasting performance by an indicator in one period seems to be unrelated to whether it is a useful predictor in a later period.
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Monetary Policy Rules

TL;DR: In this article, the authors present a co-operative research effort that allowed contributors to evaluate different policy rules using their own specific approaches, and present their findings on the potential response of interest rates to an array of variables, including alterations in the rates of inflation, unemployment and exchange.
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