The yield curve and the macro-economy across time and frequencies

被引：88

作者：

Aguiar-Conraria, Luis ^{[1
]}

Martins, Manuel M. F. ^{[2
]}

Soares, Maria Joana ^{[3
]}

机构：

[1] Univ Minho, NIPE, Escola Econ & Gestao, P-4719 Braga, Portugal

[2] Univ Porto, Cef Up, Fac Econ, Oporto, Portugal

[3] Univ Minho, Dept Matemat & Aplicacoes, P-4719 Braga, Portugal

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2012年 / 36卷 / 12期

关键词：

Macro-finance; Yield curve; Kalman filter; Continuous wavelet transform; Wavelet coherency; Phase-difference; PREDICTING US RECESSIONS; TERM-STRUCTURE; UNITED-STATES; TELL US; OUTPUT; FLUCTUATIONS; DYNAMICS; POWER; MODEL;

D O I：

10.1016/j.jedc.2012.05.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 corresponding to its level, slope and curvature. The macroeconomic variables measure real activity, inflation and monetary policy. The tools of wavelet analysis, the set of variables and the length of the sample allow for a thorough appraisal of the time-variation in the direction, intensity, synchronization and periodicity of the yield curve-macroeconomy relation. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1950 / 1970

页数：21

共 55 条

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[2]

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