Yield curve in an estimated nonlinear macro model

DOI10.1016/J.JEDC.2011.03.003zbMATH Open1217.91111OpenAlexW1971887223MaRDI QIDQ550835FDOQ550835

Authors: Taeyoung Doh 

Publication date: 13 July 2011

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.03.003

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zbMATH Keywords

Bayesian econometricsterm structure of interest ratesDSGE model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Title not available (Why is that?)
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Bayesian Analysis of DSGE Models
• Estimating Macroeconomic Models: A Likelihood Approach
• Impulse response analysis in nonlinear multivariate models
• Empirical dynamic asset pricing: model specification and econometric assessment
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Euro area inflation persistence in an estimated nonlinear DSGE model
• Convergence Properties of the Likelihood of Computed Dynamic Models
• No-arbitrage macroeconomic determinants of the yield curve

Cited In (7)

• Monetary policy and long‐term interest rates
• Title not available (Why is that?)
• Macroeconomic models and the yield curve: an assessment of the fit
• The yield curve and the macro-economy across time and frequencies
• Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate
• Efficient bond price approximations in non-linear equilibrium-based term structure models
• Title not available (Why is that?)

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