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The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach · Study

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PreprintThe Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

Francis X. Diebold2004

OA

Preprintgreen2004

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

Francis X. Diebold · Glenn D. Rudebusch · S. Borağan Aruoba

282 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 282 citations exist upstream.

References

1987Parsimonious Modeling of Yield Curves 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2003Forecasting the Term Structure of Government Bond Yields 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 1991The Term Structure as a Predictor of Real Economic Activity 2000Specification Analysis of Affine Term Structure Models 1999Monetary Policy Rules 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Cited by

2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks 2007Informed and Strategic Order Flow in the Bond Markets 2004A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy 2009Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 2006Macroeconomic Implications of Changes in the Term Premium 2006The Bond Yield "Conundrum" from a Macro-Finance Perspective 2013A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models 2012The Response of Interest Rates to U.S. and U.K. Quantitative Easing

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations282

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.2139/ssrn.562503

openalex_workW2071363949

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