A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
Marcelo Fernandes, Fausto Vieira
| Year of publication: |
2019
|
|---|---|
| Authors: | Fernandes, Marcelo ; Vieira, Fausto |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 106.2019, p. 1-19
|
| Subject: | Factor-augmented VAR | Forecasting | Term structure of interest rates | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Dynamische Wirtschaftstheorie | Economic dynamics | USA | United States | Geldpolitik | Monetary policy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.103720 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012132004