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Learning, macroeconomic dynamics and the term structure of interest rates

Dewachter, Hans; Lyrio, Marco - In: Asset prices and monetary policy, (pp. 191-238). 2008

Persistent link: https://www.econbiz.de/10003780845

Macro factors and the term structure of interest rates

Dewachter, Hans; Lyrio, Marco - In: Journal of money, credit and banking : JMCB 38 (2006) 1, pp. 119-140

Persistent link: https://www.econbiz.de/10003287605

A joint model for the term structure of interest rates and the macroeconomy

Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - In: Journal of applied econometrics 21 (2006) 4, pp. 439-462

Persistent link: https://www.econbiz.de/10003338629

An extended macro-finance model with financial factors

Dewachter, Hans; Iania, Leonardo - 2010

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...