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The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach / Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba.
- Format:
- Book
- Author/Creator:
- Diebold, Francis X.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w10616.
- NBER working paper series no. w10616
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- The Macroeconomy and the Yield Curve
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2004.
- Summary:
- 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.
- Notes:
- Print version record
- July 2004.
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