Laurini, Márcio; Caldeira, João Frois - IBMEC Business School - Rio de Janeiro - 2012
This paper assesses the relation between the yield curve and the main macroeconomic variables in the U.S. between early 1970s and 2000. We revisit the macro-finance model of Diebold et al. (2006) with the inclusion of a stochastic volatility structure for the latent factors and macroeconomic...