The yield curve and the macro-economy across time and frequencies

Luís Aguiar-Conraria (), Manuel Martins and Maria Joana Soares

Journal of Economic Dynamics and Control, 2012, vol. 36, issue 12, 1950-1970

Abstract: We assess the relation between the yield curve and the macroeconomy in the U.S. between 1961 and 2011. We add to the standard parametric macro-finance models, as we uncover evidence simultaneously on the time and frequency domains. We model the shape of the yield curve by latent factors corresponding to its level, slope and curvature. The macroeconomic variables measure real activity, inflation and monetary policy. The tools of wavelet analysis, the set of variables and the length of the sample allow for a thorough appraisal of the time-variation in the direction, intensity, synchronization and periodicity of the yield curve–macroeconomy relation.

Keywords: Macro-finance; Yield curve; Kalman filter; Continuous wavelet transform; Wavelet coherency; Phase-difference (search for similar items in EconPapers)
JEL-codes: C32 C49 E43 E44 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (80)

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Related works:
Working Paper: The yield curve and the macro-economy across time and frequencies (2010)
Working Paper: The yield curve and the macro-economy across time and frequencies (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:36:y:2012:i:12:p:1950-1970

DOI: 10.1016/j.jedc.2012.05.008

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