| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10616 |
| 来源ID | Working Paper 10616 |
| The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach | |
| Francis X. Diebold; Glenn D. Rudebusch; S. Boragan Aruoba | |
| 发表日期 | 2004-07-19 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w10616 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568247 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Glenn D. Rudebusch,S. Boragan Aruoba. The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10616.pdf（911KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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