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4 edition of The macroeconomy and the yield curve found in the catalog.

The macroeconomy and the yield curve

Francis X. Diebold

The macroeconomy and the yield curve

a dynamic latent factor approach

by Francis X. Diebold

  • 214 Want to read
  • 36 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English


Edition Notes

StatementFrancis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba.
SeriesNBER working paper series ;, working paper 10616, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10616.
ContributionsRudebusch, Glenn D., 1959-, Aruoba, S. Boragan., National Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3476065M
LC Control Number2005615522

The AD-AS model has become the standard textbook model for explaining the macroeconomy. This model shows the price level and level of real output given the equilibrium in aggregate demand and aggregate aggregate demand curve's downward slope means that more output is demanded at lower price levels. The downward slope is the result of three effects: the Pigou or real balance effect. This paper compares the accuracy of interest rates forecasts from dynamic, affine yield curve models, also those that take into account the correlation of latent factors and macroeconomic variables.

  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.   The Yield Curve and Financial Risk Premia: Implications for Monetary Policy (Lecture Notes in Economics and Mathematical Systems Book ) th Edition, Kindle Edition the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic Manufacturer: Springer.

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach. Francis Diebold (), Glenn Rudebusch and S. Boragan Aruoba (). No , NBER Working Papers from National Bureau of Economic Research, Inc Abstract: We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also includes observable macroeconomic . CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a characterization of the dynamic interactions between the macroeconomy and.


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The macroeconomy and the yield curve by Francis X. Diebold Download PDF EPUB FB2

The macroeconomy and the yield curve: A dynamic latent factor approach Article (PDF Available) in Journal of Econometrics () January with Reads How we measure 'reads'. approach for modeling the yield curve. The new literature on the macroeconomy and the yield curve Inclusion of macrovariables in fìnance specifìcations of the yield curve The model of Diebold - Rudebusch - Aruoba () provides a simple way of adding macroeconomic variables in a finance specification of the yield curve.

The Macroeconomy and the Yield Curve: A Nonstructural Analysis Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba This revision/print: Octo Abstract: We estimate a model with latent factors that summarize the yield curve (namely, level, slope.

yield curve and the macroeconomy. In section 3, we incorporate macroeconomic variables and estimate a “yields-macro” model. To complement the nonstructural nature of our yield curve representation, we also use a simple nonstructural VAR representation of the macroeconomy.

The focus of our examination is the nature of the linkagesFile Size: KB. Journals & Books; Help 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 by: The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach. by René Garcia1and Richard Luger2 1Département de sciences économiques Université de Montréal Montréal, Quebec, Canada H3C 3J7 and CIRANO, CIREQ @ 2Department of Economics Emory University Atlanta, GAUSA The views expressed in this paper are those of the.

Finally, interactions between the yield curve and the macroeconomy in China are nearly unidirectional. Macroeconomic variables reshape the yield curve, but direct adjustments of the yield curve do not significantly change macroeconomic variables.

Due to the incomplete liberalization of financial markets, there exists a wide disjunction between. yield curve models tend to be either theoretically rigorous but empirically disappointing, or empirically successful but theo-retically lacking.

In contrast, we emphasize in this book two intimately-related extensions of the classic yield curve model of Nelson and Siegel (). The rst is a dynamized version. yield-curve models.

For example, Diebold et al. (b) provide a macroeconomic interpretation of the Nelson-Siegel representation by combining it with VAR dynamics for the macroeconomy. Their maximum-likelihood estimation approach ex-tracts three latent factors (essentially level, slope, and curvature) from a set of 17 yields on.

these yield curve models. For example, Diebold, Rudebusch, and S. Boragan Aruoba () provide a macroeco-nomic interpretation of the Nelson-Siegel representation by combining it with VAR dynamics for the macroeconomy. Their maximum likelihood estimation approach extracts three latent.

"The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, vol. (), pages Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba. "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," Journal of Econometrics,1.

Introduction Macroeconomists, financial economists, and market participants all have attempted to build good models of the yield curve, yet the resulting models are. The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba.

NBER Working Paper No. Issued in July NBER Program(s):Economic Fluctuations and Growth, Monetary Economics, Asset Pricing We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also.

We now return to the question “Are variations in the yield curve related to the macroeconomy?” and describe the ideas presented above more formally.

In a manner similar to the block representation of the state variables in (1), we represent the risk premia in a block form: (18) Λ t = Λ 0 + [ Λ m m Λ m x Λ x m Λ x x ] [ m t x t ]. THE SOVEREIGN YIELD CURVE AND THE MACROECONOMY IN CHINA © Wiley Publishing Asia Pty Ltd autoregressive (VAR) system to investigate linkages between financial variables and the real economy.

The yield curve and the macro-economy across time and frequencies Febru Abstract We assess the relation between the yield curve and the macroeconomy in the U.S. between and We add to the standard parametric macro-finance models, uncov-ering evidence simultaneously on the time and frequency domains.

We model the shape. "The small open macroeconomy and the yield curve: A state-space representation," The North American Journal of Economics and Finance, Elsevier, vol.

29(C), pages Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares,   Abstract: The joint behavior of the Treasury yield curve and macroeconomic variables is important for bond pricing, investment decision and policy making.

The empirical analysis has been carried out for mature markets like U.S., and in this paper we focus on China, an emerging market with an immature bond market. yield-curve models, but restricts the linkage to be unidirectional from macroeconomic variables to the yield curve.

In addition, the model overcomes the one-way linkage from the yield curve to the macroeconomy that is inherent in the research mentioned above on the predictive content of the term structure for macroeconomic variables.

This paper contributes to the literature on the relationship between the yield curve and macroeconomic vari- ables by focusing on an emerging market case: Turkey. The most important result of the paper is that the re- lationship between the yield curve and macroeconomic variables. Get this from a library!

The macroeconomy and the yield curve: a dynamic latent factor approach. [Francis X Diebold; Glenn D Rudebusch; S Boragan Aruoba; National Bureau of Economic Research.]. The formation of the inverted yield curve -- a situation where yields on the short end of the curve are higher than those on the longer end -- in the U.S.

and a subsequent sizable impact it had on global financial markets clearly tells how significant the role yield curve plays in the world of finance and economics s: 1.The macroeconomy and the yield curve: A nonstructural analysis.