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
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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 ratesYield curveVARFactor 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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