The macroeconomy and the yield curve: a dynamic latent factor approach
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Publication:292022
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Cites work
- scientific article; zbMATH DE number 3727458 (Why is no real title available?)
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A joint econometric model of macroeconomic and term-structure dynamics
- Forecasting the term structure of government bond yields
- Interest rate dynamics and consistent forward rate curves
- Term structure views of monetary policy under alternative models of agent expectations
- Time series analysis by state space methods
- What does the yield curve tell us about GDP growth?
Cited in
(61)- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Predicting the yield curve using forecast combinations
- Risks and risk premia in the US Treasury market
- 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
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
- Ranking Forecasts by Stochastic Error Distance, Information and Reliability Measures
- 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
- Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
- 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 joint econometric model of macroeconomic and term-structure dynamics
- A spectral EM algorithm for dynamic factor models
- Macroeconomic models and the yield curve: an assessment of the fit
- 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
- Inference in functional factor models with applications to yield curves
- MoNK: mortgages in a New-Keynesian model
- Monetary policy is not always systematic and data-driven: evidence from the yield curve
- 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
- Testing for Common Trends in Nonstationary Large Datasets
- Revisiting the fitting of the Nelson–Siegel and Svensson models
- 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
- 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
- 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
- Yield curve momentum
- Changing Macroeconomic Dynamics at the Zero Lower Bound
- Inequality Constrained State-Space Models
- 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
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- A Bayesian approach to term structure modeling using heavy-tailed distributions
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
- What does the yield curve tell us about GDP growth?
- Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
- PCA-BASED EX-ANTE FORECASTING OF SWAP TERM STRUCTURES
- Dynamic credit default swap curves in a network topology
- Multiple yield curve modeling and forecasting using deep learning
- Robust term structure estimation in developed and emerging markets
- Functional dynamic factor models with application to yield curve forecasting
- Some remarks on the Nelson-Siegel model
- The affine arbitrage-free class of Nelson-Siegel term structure models
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- Functional Autoregression for Sparsely Sampled Data
- Monetary policy and the term structure of inflation expectations with information frictions
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