A Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity

Modena, Matteo

doi:10.1057/9780230295209_7

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Ivi Impulse Responses1

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2017

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“…He argues that the curvature factor might be called as an early predictor of the recessions. Furthermore, the findings of Modena (2011), which is compatible with ours, show that the curvature factor reflects the cyclical fluctuation of economy and a negative shock to the curvature factor either anticipates or accompanies a slowdown in economic activity.…”

Section: Ivi Impulse Responsessupporting

confidence: 88%

MAKROEKONOMİ ve VERİM EĞRİSİ: ULUSLARARASI BİR PANEL VERİ SETİNDEN BULGULAR

Kaya¹

2017

International Review of Economics and Management

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This paper provides cross-country empirical evidence on the dynamic interactions between macroeconomy and the yield curve by utilizing two-step estimation approach. In the first step three latent yield factors are estimated using Dynamic Nelson Siegel Model and in the second step dynamic relationship between these factors and macro factors are investigated by employing a Panel VAR model. The results suggest that there is a bidirectional link between macro variables and the yield curve.

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Section: Ivi Impulse Responsessupporting

confidence: 88%

MAKROEKONOMİ ve VERİM EĞRİSİ: ULUSLARARASI BİR PANEL VERİ SETİNDEN BULGULAR

Kaya¹

2017

International Review of Economics and Management

View full text Add to dashboard Cite

show abstract

A Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity

Cited by 1 publication

References 34 publications

MAKROEKONOMİ ve VERİM EĞRİSİ: ULUSLARARASI BİR PANEL VERİ SETİNDEN BULGULAR

MAKROEKONOMİ ve VERİM EĞRİSİ: ULUSLARARASI BİR PANEL VERİ SETİNDEN BULGULAR

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