Yield curve in an estimated nonlinear macro model

DOI10.1016/J.JEDC.2011.03.003MaRDI QIDQ550835zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• Bayesian Analysis of DSGE Models
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Convergence Properties of the Likelihood of Computed Dynamic Models
• Empirical dynamic asset pricing: model specification and econometric assessment
• Estimating Macroeconomic Models: A Likelihood Approach
• Euro area inflation persistence in an estimated nonlinear DSGE model
• Impulse response analysis in nonlinear multivariate models
• No-arbitrage macroeconomic determinants of the yield curve
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• The macroeconomy and the yield curve: a dynamic latent factor approach

Cited in

(7)

• Monetary policy and long‐term interest rates
• scientific article; zbMATH DE number 6612400 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 6692423 (Why is no real title available?)

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