The macroeconomic determinants of the US term structure during the Great Moderation

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• 作者：Alessia Paccagnini ^{alessia.paccagnini@unimib.it" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Term structure of interest rates ; Yield curve ; VAR ; Factor model
• 刊名：Economic Modelling
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：52
• 期：part_PA
• 页码：216-225
• 全文大小：1676 K

文摘

We study the relation between the macroeconomic variables and the term structure of interest rates during the Great Moderation. We interpolate a term structure using three latent factors of the yield curve to analyze the responses of all maturities to macroeconomic shocks. A Nelson–Siegel model is implemented to estimate the latent factors which correspond to the level, the slope, and the curvature of the curve. As policy implication, the interpolated term structure informs the policymaker how all the macroeconomic shocks impact the whole term structure, even if the impact has a different magnitude across maturities.