We construct a factor model of the yield curve and specify time series processes forthese factors, so that the innovations are mutually orthogonal. At the same time,the factors are constructed in such a way that they assume clear, intuitive interpretations.The resulting “intelligible...

This paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR model consisting of four variables taking into account data revisions for GDP. First, the paper develops an analytical method to analyze the effect of data revision errors in GDP on the ex ante or...