The yield curve and the macro-economy across time and frequencies

DOI10.1016/J.JEDC.2012.05.008MaRDI QIDQ318879zbMATH OpenOpenAlexFDO

Authors Luís Aguiar-Conraria, Manuel M. F. Martins, Maria Joana Soares

Publication date 6 October 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1822/11682

zbMATH Keywords

Kalman filteryield curvecontinuous wavelet transformmacro-financephase-differencewavelet coherency

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• A joint econometric model of macroeconomic and term-structure dynamics
• An arbitrage‐free generalized Nelson–Siegel term structure model
• Forecasting the term structure of government bond yields
• Investigating time-variation in the marginal predictive power of the yield spread
• Predicting a recession: Evidence from the yield curve in the presence of structural breaks
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Wavelet Variance Analysis of Output in G-7 Countries
• What does the yield curve tell us about GDP growth?

Cited in

(23)

• Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
• The relation between the corporate bond-yield spread and the real economy: stable or time-varying?
• A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
• The yield curve and financial risk premia. Implications for monetary policy.
• Yield curve in an estimated nonlinear macro model
• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• Interest rate spreads and output: a time scale decomposition analysis using wavelets
• No-arbitrage macroeconomic determinants of the yield curve
• Macroeconomic models and the yield curve: an assessment of the fit
• The Phillips curve at 65: time for time and frequency
• Improving model performance with the integrated wavelet denoising method
• Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
• Intelligible factors for the yield curve
• On the cyclicity of regional house prices: new evidence for U.S. metropolitan statistical areas
• Investigating time-variation in the marginal predictive power of the yield spread
• Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach
• Yield curve momentum
• Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries
• Dynamic regression models for time-ordered functional data
• Time-frequency regression
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Okun's law across time and frequencies
• Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes

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