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The Macroeconomy and the Yield Curve:A Dynamic Latent Factor Approach
Term structure interest rates macroeconomic fundamentals factor model state-space model
2015/9/18
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,in...
What does the yield curve tell us about GDP growth?
Term structure Forecasting Financial markets and the macroeconomy
2015/7/23
A lot, including a few things you may not expect. Previous studies find that the term spread
forecasts GDP but these regressions are unconstrained and do not model regressor
endogeneity. We bu...
Comments on Piazzesi and Schneider's "Bond Positions, Expectations, and the Yield Curve"
monetary interactions fiscal interactions integrating finance future enhancement
2011/9/16
The article presents the author commentaries of Monika Piazzesi and Martin Schneider's "Bond Positions, Expectations, and the Yield Curve." It refers to the integration of macroeconomics and finance i...