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

DOI10.1016/j.jedc.2012.05.008zbMath1346.91153OpenAlexW2150011306MaRDI QIDQ318879

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

Publication date: 6 October 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

Kalman filtercontinuous wavelet transformphase-differenceyield curvemacro-financewavelet coherency

Mathematics Subject Classification ID

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

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Cites Work

• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• What does the yield curve tell us about GDP growth?
• A joint econometric model of macroeconomic and term-structure dynamics
• 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
• An arbitrage‐free generalized Nelson–Siegel term structure model
• Wavelet Variance Analysis of Output in G-7 Countries

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