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The macroeconomy and the yield curve : a dynamic latent factor approach

Author: Francis X Diebold; Glenn D Rudebusch; S Boragan Aruoba; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2004.
Series: Working paper series (National Bureau of Economic Research), no. 10616.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Francis X Diebold; Glenn D Rudebusch; S Boragan Aruoba; National Bureau of Economic Research.
OCLC Number: 56518225
Notes: "June 2004."
Description: 1 online resource (22, [16] pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 10616.
Responsibility: Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba.

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"--National Bureau of Economic Research web site.

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