The Macroeconomic Determinants of the US Term-Structure During The Great Moderation
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|Title:||The Macroeconomic Determinants of the US Term-Structure During The Great Moderation||Authors:||Paccagnini, Alessia||Permanent link:||http://hdl.handle.net/10197/7324||Date:||Jan-2016||Abstract:||We study the relation between the macroeconomic variables and the term structure of interest rates during the Great Moderation. We interpolate a term structure using three latent factors of the yield curve to analyze the responses of all maturities to macroeconomic shocks. A Nelson–Siegel model is implemented to estimate the latent factors which correspond to the level, the slope, and the curvature of the curve. As policy implication, the interpolated term structure informs the policymaker how all the macroeconomic shocks impact the whole term structure, even if the impact has a different magnitude across maturities.||Type of material:||Journal Article||Publisher:||Elsevier||Journal:||Economic Modelling||Volume:||52||Issue:||Part A||Start page:||216||End page:||225||Copyright (published version):||2014 Elsevier||Keywords:||Term structure of interest rates; Yield curve; VAR; Factor model||DOI:||10.1016/j.econmod.2014.11.013||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Economics Research Collection|
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