Diebold, Francis X.; Piazzesi, Monika; Rudebusch, Glenn D. - Center for Financial Studies - 2005
observable macroeconomic variables
(specifically, real activity, inflation, and a monetary policy instrument).
The role of … Andrew Ang and Piazzesi (2003) and Ang, Sen Dong, and Piazzesi (2004), the macro-
economic factors are measures of inflation … and Piazzesi
(2003), the measures of real activity and inflation are each constructed as the first principal
component of …