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

Alessia Paccagnini

Economic Modelling, 2016, vol. 52, issue PA, 216-225

Abstract: 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.

Keywords: Term structure of interest rates; Yield curve; VAR; Factor model (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (11)

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Related works:
Working Paper: 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 (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:52:y:2016:i:pa:p:216-225

DOI: 10.1016/j.econmod.2014.11.013

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