A joint econometric model of macroeconomic and term-structure dynamics
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Publication:292033
DOI10.1016/J.JECONOM.2005.01.012zbMATH Open1337.62368OpenAlexW3124625522MaRDI QIDQ292033FDOQ292033
Authors: Peter Hördahl, Oreste Tristani, David Vestin 
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp405.pdf
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Cites Work
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- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- A Reality Check for Data Snooping
- Asymptotic Inference about Predictive Ability
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- Title not available (Why is that?)
Cited In (28)
- Predicting the yield curve using forecast combinations
- On the informational role of term structure in the US monetary policy rule
- Identification and estimation of Gaussian affine term structure models
- Evolving macroeconomic perceptions and the term structure of interest rates
- 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
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- No-arbitrage macroeconomic determinants of the yield curve
- An affine two-factor heteroskedastic macro-finance term structure model
- Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
- 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
- MoNK: mortgages in a New-Keynesian model
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
- Fundamental bubbles in equity markets
- 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 Markov regime-switching marked point process for short-rate analysis with credit risk
- Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements
- Structural estimation of jump-diffusion processes in macroeconomics
- 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
- Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
- The macroeconomy and the yield curve: a dynamic latent factor approach
- What does the yield curve tell us about GDP growth?
- Common time variation of parameters in reduced-form macroeconomic models
- Monetary policy regimes and the term structure of interest rates
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