Hautsch, Nikolaus; Ou, Yangguoyi - Center for Financial Studies - 2009
illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary …, inflation, monetary
policy and employment growth.
JEL Classification: C5, E4, G1
Keywords: Term Structure Modelling … components of a VAR model including macroeconomic vari-
ables, such as capacity utilization, industrial production, inflation …