Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72638
Authors: 
Francis X. Diebold,
Rudebusch, Glenn D.
Aruoba, S. Boragan
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper 2003/31
Abstract: 
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 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 results to a traditional macroeconomic approach based on the expectations hypothesis.
Subjects: 
Yield curve
term structure
interest rates
macroeconomic fundamentals
factor model
state-space model
JEL: 
G1
E4
C5
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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