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The Macroeconomy and the Yield Curve:A Dynamic Latent Factor Approach
Term structure interest rates macroeconomic fundamentals factor model state-space model
2015/9/18
We estimate a model that summarizes the yield curve using latent factors (specifically, level,slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity,in...
What does the yield curve tell us about GDP growth?
Term structure Forecasting Financial markets and the macroeconomy
2015/7/23
A lot, including a few things you may not expect. Previous studies find that the term spread
forecasts GDP but these regressions are unconstrained and do not model regressor
endogeneity. We bu...
An Econometric Model of the Yield Curve with Macroeconomic Jump Effects
Macroeconomic Jump Effects Yield Curve
2015/7/23
This paper develops an arbitrage-free time-series model of yields in continuous time
that incorporates central bank policy. Policy-related events, such as FOMC meetings
and releases of macroeconomic...
Comments on Piazzesi and Schneider's "Bond Positions, Expectations, and the Yield Curve"
monetary interactions fiscal interactions integrating finance future enhancement
2011/9/16
The article presents the author commentaries of Monika Piazzesi and Martin Schneider's "Bond Positions, Expectations, and the Yield Curve." It refers to the integration of macroeconomics and finance i...
This paper presents an answer to why the yield curve tends to invert one year
before a recession. The capital-based macroeconomic model used in this paper traces out
the effects of an injection of s...
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
HJM Modelling Multiple Yield-Curve Dynamics
2010/12/13
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market p...