Yield Curve Predictability, Regimes, andMacroeconomic Information: A Data-Driven Approach

We propose an empirical approach to determine the various economic sourcesdriving the US yield curve. We allow the conditional dynamics of the yield at differ-ent maturities to change in reaction to past information coming from several relevantpredictor variables. We consider both endogenous, yield curve factors and exoge-nous, macroeconomic factors as predictors in our model, letting the data themselveschoose the most important variables.[...]

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Year of publication:	2009-05-01
Authors:	Audrino, Francesco ; Filipova, Kameliya
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Prognose \| GARCH-Prozess \| Ertrag \| Kurve \| Laffer curve

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Extent:	380928 bytes 37 p. application/pdf
Series:	FINRISK Working Paper Series Working Paper No. 547
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; Subject matter and research method of business administration ; Management and business organisation. General ; Capital budgeting, budgetary planning and budgetary control ; Individual Working Papers, Preprints ; USA
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868713