The macroeconomy and the yield curve
Subtitle: a dynamic latent factor approach
By: Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba.
Contributors: Rudebusch, Glenn D., 1959-; Aruoba, S. Boragan.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10616; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10616.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 1/11/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.