The macroeconomy and the yield curve: a dynamic latent factor approach
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Publication:292022
DOI10.1016/J.JECONOM.2005.01.011zbMATH Open1337.62356OpenAlexW3125940441MaRDI QIDQ292022FDOQ292022
Authors: Francis X. Diebold, Glenn D. Rudebusch, S. Borağan Aruoba 
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
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Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)
Cites Work
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- What does the yield curve tell us about GDP growth?
- Term structure views of monetary policy under alternative models of agent expectations
- A joint econometric model of macroeconomic and term-structure dynamics
- Title not available (Why is that?)
Cited In (61)
- Risks and risk premia in the US Treasury market
- Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
- Monetary policy is not always systematic and data-driven: evidence from the yield curve
- Testing for Common Trends in Nonstationary Large Datasets
- Revisiting the fitting of the Nelson–Siegel and Svensson models
- Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements
- Term Structures of Inflation Expectations and Real Interest Rates
- Yield curve momentum
- Changing Macroeconomic Dynamics at the Zero Lower Bound
- Inequality Constrained State-Space Models
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- Multiple yield curve modeling and forecasting using deep learning
- Functional Autoregression for Sparsely Sampled Data
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Predicting the yield curve using forecast combinations
- A genetic algorithm estimation of the term structure of interest rates
- On the informational role of term structure in the US monetary policy rule
- Bilinear term structure model
- Ranking Forecasts by Stochastic Error Distance, Information and Reliability Measures
- USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- An arbitrage‐free generalized Nelson–Siegel term structure model
- A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
- Yield curve in an estimated nonlinear macro model
- Forecasts of US short-term interest rates: a flexible forecast combination approach
- What drives short rate dynamics? A functional gradient descent approach
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- No-arbitrage macroeconomic determinants of the yield curve
- Integrated bank risk modeling: a bottom-up statistical framework
- A spectral EM algorithm for dynamic factor models
- A joint econometric model of macroeconomic and term-structure dynamics
- Macroeconomic models and the yield curve: an assessment of the fit
- Inference in functional factor models with applications to yield curves
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Estimating VAR models for the term structure of interest rates
- MoNK: mortgages in a New-Keynesian model
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
- Intelligible factors for the yield curve
- The yield curve and the macro-economy across time and frequencies
- Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?
- A hybrid spline-based parametric model for the yield curve
- The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises
- The effects of conventional and unconventional monetary policy on forecasting the yield curve
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- Yield curve forecast combinations based on bond portfolio performance
- Dynamic regression models for time-ordered functional data
- From bond yield to macroeconomic instability: a parsimonious affine model
- A Bayesian approach to term structure modeling using heavy-tailed distributions
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- PCA-BASED EX-ANTE FORECASTING OF SWAP TERM STRUCTURES
- Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Dynamic credit default swap curves in a network topology
- What does the yield curve tell us about GDP growth?
- Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
- Robust term structure estimation in developed and emerging markets
- Some remarks on the Nelson-Siegel model
- Functional dynamic factor models with application to yield curve forecasting
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- The affine arbitrage-free class of Nelson-Siegel term structure models
- Monetary policy and the term structure of inflation expectations with information frictions
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