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

DOI10.1016/J.JEDC.2010.01.008MaRDI QIDQ991391zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

yield curvepersistencemacromodels

Mathematics Subject Classification ID

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

Recommendations

• Yield curve in an estimated nonlinear macro model
• A joint econometric model of macroeconomic and term-structure dynamics
• The macroeconomy and the yield curve: a dynamic latent factor approach
• No-arbitrage macroeconomic determinants of the yield curve
• The yield curve and the macro-economy across time and frequencies

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
• scientific article; zbMATH DE number 6692423 (Why is no real title available?)

This page was built for publication: Macroeconomic models and the yield curve: an assessment of the fit

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q991391)