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Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model

Andreasen, Martin Møller - School of Economics and Management, University of Aarhus - 2008

This paper shows how a standard DSGE model can be extended to reproduce the dynamics in the 10 year yield curve for the post-war US economy with a similar degree of precision as in reduced form term structure models. At the same time, we are able to reproduce the dynamics of four key macro...

Persistent link: https://www.econbiz.de/10005440067

Testing for Parameter Stability in Dynamic Models Across Frequencies

Candelon, Bertrand; Cubadda, Gianluca - Centro di Studi Internazionali Sull'Economia e la … - 2006

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency w, where w [0, p]. When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data...

Persistent link: https://www.econbiz.de/10005450632

Interpolation Methods for Curve Construction

Hagan, Patrick; West, Graeme - In: Applied Mathematical Finance 13 (2006) 2, pp. 89-129

This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves the issue of bootstrapping is reviewed and how the...

Persistent link: https://www.econbiz.de/10005462510

The Target Rate and Term Structure of Interest Rates

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

This paper presents a tractable bond valuation model, which further develops the approach proposed by Piazzesi (2005 …). The short term inter-bank interest rate is equal to the target rate set by the central bank plus a spread. Bond yields are … accurate approximations to the bond pricing equation provide new closed form solutions for discount bond prices that require no …

Persistent link: https://www.econbiz.de/10005523952

The yield curve as a predictor and emerging economies

Mehl, Arnaud - European Central Bank - 2006

This paper investigates the extent to which the slope of the yield curve in emerging economies predicts domestic inflation and growth. It also examines international financial linkages and how the US and the euro area yield curves help to predict. It finds that the domestic yield curve in...

Persistent link: https://www.econbiz.de/10005530689

Modelling and Forecasting the Yield Curve under Model uncertainty

Donati, Paola; Donati, Francesco - European Central Bank - 2008

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...

Persistent link: https://www.econbiz.de/10005530758

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

Mönch, Emanuel - European Central Bank - 2005

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...

Persistent link: https://www.econbiz.de/10005530872

The impact of ECB monetary policy decisions and communication on the yield curve

Brand, Claus; Buncic, Daniel; Turunen, Jarkko - European Central Bank - 2006

We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The...

Persistent link: https://www.econbiz.de/10005530883

Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models

Coenen, Günter - European Central Bank - 2000

This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated...

Persistent link: https://www.econbiz.de/10005531003

Macroeconomic Models and the Yield Curve

Chadha, Jagjit; Holly, Sean - Society for Computational Economics - SCE - 2006

Many have questioned the empirical relevance of the Calvo-Yun model. This paper appends three widely-studied macroeconomic models (Calvo-Yun, Hybrid and Svensson) with forward rate curves. We back out from observations on the yield curve the underlying macroeconomic model that most closely...

Persistent link: https://www.econbiz.de/10005537446