Aguiar-Conraria, Luís; Martins, Manuel M.F.; Soares, … - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1950-1970
We assess the relation between the yield curve and the macroeconomy in the U.S. between 1961 and 2011. We add to the standard parametric macro-finance models, as we uncover evidence simultaneously on the time and frequency domains. We model the shape of the yield curve by latent factors...