No-arbitrage macroeconomic determinants of the yield curve

DOI10.1016/J.JECONOM.2010.05.004MaRDI QIDQ736697zbMATH OpenOpenAlexFDO

Authors Ruslan Bikbov, Mikhail Chernov

Publication date 4 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.05.004

zbMATH Keywords

Kalman filterterm structurevariance decompositionmacro-finance models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A joint econometric model of macroeconomic and term-structure dynamics
• BOOTSTRAPPING THE LONG RUN
• The macroeconomy and the yield curve: a dynamic latent factor approach

Cited in

(13)

• Government debt, learning and the term structure
• Risks and risk premia in the US Treasury market
• Yield curve in an estimated nonlinear macro model
• Macroeconomic models and the yield curve: an assessment of the fit
• Let's get LADE: robust estimation of semiparametric multiplicative volatility models
• Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy
• A no-arbitrage analysis of macroeconomic determinants of the credit spread term structure
• The yield curve and the macro-economy across time and frequencies
• The origins and effects of macroeconomic uncertainty
• The effects of monetary policy regime shifts on the term structure of interest rates
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Macroeconomic environment, money demand and portfolio choice
• No Arbitrage Theory for Bond Markets

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