Macroeconomic models and the yield curve: an assessment of the fit

DOI10.1016/J.JEDC.2010.01.008zbMATH Open1232.91510OpenAlexW2030891562WikidataQ61456637 ScholiaQ61456637MaRDI QIDQ991391FDOQ991391

Authors: Jagjit S. Chadha, Sean Holly 

Publication date: 7 September 2010

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

Full work available at URL: http://econpapers.repec.org/paper/camcamdae/0640.htm

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zbMATH Keywords

yield curvepersistencemacromodels

Mathematics Subject Classification ID

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

Cites Work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The macroeconomy and the yield curve: a dynamic latent factor approach

Cited In (6)

• The yield curve and financial risk premia. Implications for monetary policy.
• Yield curve in an estimated nonlinear macro model
• A joint econometric model of macroeconomic and term-structure dynamics
• From bond yield to macroeconomic instability: a parsimonious affine model
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Title not available (Why is that?)

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