Diebold, Francis X. (contributor); … - 2003 - [Elektronische Ressource]
The Macroeconomy and the Yield Curve:
A Dynamic Latent Factor Approach
Francis X. Diebold
University of Pennsylvania … model that summarizes the yield curve using latent factors (specifically, level,
slope, and curvature) and also includes … provide a characterization of the dynamic
interactions between the macroeconomy and the yield curve. We find strong evidence …