A joint econometric model of macroeconomic and term-structure dynamics
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Publication:292033
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Cites work
- scientific article; zbMATH DE number 1099371 (Why is no real title available?)
- A Reality Check for Data Snooping
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Asymptotic Inference about Predictive Ability
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- Global optimization of statistical functions with simulated annealing
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
Cited in
(33)- Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements
- Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?
- Estimating VAR models for the term structure of interest rates
- Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
- Yield curve in an estimated nonlinear macro model
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
- Macroeconomic models and the yield curve: an assessment of the fit
- Evolving macroeconomic perceptions and the term structure of interest rates
- Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
- On the informational role of term structure in the US monetary policy rule
- MoNK: mortgages in a New-Keynesian model
- A Markov regime-switching marked point process for short-rate analysis with credit risk
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
- No-arbitrage macroeconomic determinants of the yield curve
- From bond yield to macroeconomic instability: a parsimonious affine model
- Monetary policy regimes and the term structure of interest rates
- Fundamental bubbles in equity markets
- A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
- An affine two-factor heteroskedastic macro-finance term structure model
- The yield curve and the macro-economy across time and frequencies
- Yield curve momentum
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Structural estimation of jump-diffusion processes in macroeconomics
- The macroeconomy and the yield curve: a dynamic latent factor approach
- What does the yield curve tell us about GDP growth?
- Predicting the yield curve using forecast combinations
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Common time variation of parameters in reduced-form macroeconomic models
- Identification and estimation of Gaussian affine term structure models
- Resolving the spanning puzzle in macro-finance term structure models
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