The Macroeconomic Determinants of the US Term-Structure during the Great Moderation

Alessia Paccagnini

No 274, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: The aim of this paper is to study how the macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent factors which correspond to the level, the slope, and the curvature of the yield curve. As policy implication, the interpolated term structure suggests us how all the macro shocks impact on the overall yield curve, even if the impact has a different magnitude across maturities.

Keywords: Term structure of interest rates; yield curve; VAR; Factor Model (search for similar items in EconPapers)
JEL-codes: E43 E44 E58 G12 (search for similar items in EconPapers)
Pages: 27
Date: 2014-06, Revised 2014-06
New Economics Papers: this item is included in nep-mac and nep-mon
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http://repec.dems.unimib.it/repec/pdf/mibwpaper274.pdf First version, 2014 (application/pdf)

Related works:
Journal Article: The macroeconomic determinants of the US term structure during the Great Moderation (2016)
Working Paper: The Macroeconomic Determinants of the US Term-Structure During The Great Moderation (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:mib:wpaper:274

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