Encontrados 2 documentos, a visualizar página 1 de 1
The yield curve and the macro-economy across time and frequencies
Conraria, Luís Aguiar; Martins, Manuel M. F.; Soares, M. J.This paper assesses the relation between the yield curve and the main macroeconomic variables in the U.S. between early 1960s and 2009 across time and frequencies, using wavelet analyses. The shape of the yield curve is modelled by latent factors corresponding to its level, slope and curvature, estimated by maximum likelihood with the Kalman filter. The macroeconomic variables measure econmic activity, unemploy...
Level, slope, curvature of sovereign yield curve and fiscal behaviour
Afonso, António; Martins, Manuel M. F.We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The latent factors, level, slope and curvature, obtained with the Kalman filter, are used in a VAR with macro and fiscal variables, controlling for financial stress conditions. In the U.S., fiscal shocks have generated (i) an immediate response of the short-end of the yield curve, associated with the mo...
| Financiadores do RCAAP | |||||||
|
|
|
|
|
|
||