Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. … - 2003
We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as … characterization of the dynamic interactions between the macroeconomy and the yield curve. We find strong evidence of the effects of … macro variables on future movements in the yield curve and much weaker evidence for a reverse influence. We also relate our …