The macroeconomy and the yield curve: a dynamic latent factor approach
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Publication:292022
DOI10.1016/j.jeconom.2005.01.011zbMath1337.62356OpenAlexW3125940441MaRDI QIDQ292022
Glenn D. Rudebusch, S. Borağan Aruoba, Francis X. Diebold
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w10616.pdf
Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)
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Cites Work
- Forecasting the term structure of government bond yields
- What does the yield curve tell us about GDP growth?
- A joint econometric model of macroeconomic and term-structure dynamics
- Term structure views of monetary policy under alternative models of agent expectations
- Interest Rate Dynamics and Consistent Forward Rate Curves
- A YIELD‐FACTOR MODEL OF INTEREST RATES
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