Modena, Matteo - Department of Economics, Adam Smith Business School - 2008
macroeconomic variables. The yield curve is summarized by few latent factors (level, slope, and curvature) which are obtained … third unobservable component of the term structure, i.e. curvature. In particular, we find significant evidence suggesting … that curvature reflects the cyclical fluctuations of the economy. Interestingly, this result holds in spite of whether the …