MAKROEKONOMİ ve VERİM EĞRİSİ: ULUSLARARASI BİR PANEL VERİ SETİNDEN BULGULAR

Abstract

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.