Modena, Matteo - Department of Economics, Adam Smith Business School - 2008
Classification: C01, C32, E32, E44, G12
Keywords: Term Structure, Kalman Filtering, Latent Factors, Curvature, Business Cycle … other macroeconomic variables. They also argue that the slope reflects business cycle conditions.
3
It has been argued … counterpart of the third latent component is significantly related to the business
cycle. In particular, even though curvature …