Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. Boragan - Federal Reserve Bank of San Francisco - 2003
We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a characterization of the dynamic interactions between...
