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来源类型Working Paper
规范类型报告
DOI10.3386/w10616
来源IDWorking 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
URLhttps://www.nber.org/papers/w10616
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/568247
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GB/T 7714
Francis X. Diebold,Glenn D. Rudebusch,S. Boragan Aruoba. The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach. 2004.
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