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Shape evolution of the interest rate term structure

Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

Persistent link: https://www.econbiz.de/10012886359

A reexamination of the predictability of economic activity using the yield spread

Hamilton, James D.; Kim, Dong-heon - In: Journal of money, credit and banking : JMCB 34 (2002) 2, pp. 340-360

Persistent link: https://www.econbiz.de/10001686022

Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields

Hautsch, Nikolaus; Ou, Yangguoyi - 2009

autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary … policy and employment growth. -- Term Structure Modelling ; Yield Curve Risk ; Stochastic Volatility ; Factor Models …