This work focuses on the recent literature, started by the seminal article of Ang - Piazzesi (2003), aimed at developing macrofinance models that combine finance specifications of the term structure of interest rates with standard macroeconomic aggregate relationships for output and inflation....

We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a characterization of the dynamic interactions between...

En este documento proponemos un enfoque novedoso para estimar la contribución de los factores macroeconómicos a los diferenciales soberanos de la zona del euro, definida como el nivel de diferencial coherente con las condiciones macroeconómicas del país. A pesar de la abundancia de trabajos...