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The Macroeconomic Determinants of the US Term-Structure during the Great Moderation

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  • Alessia Paccagnini

Abstract

The aim of this paper is to study how the macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent factors which correspond to the level, the slope, and the curvature of the yield curve. As policy implication, the interpolated term structure suggests us how all the macro shocks impact on the overall yield curve, even if the impact has a different magnitude across maturities.

Suggested Citation

  • Alessia Paccagnini, 2014. "The Macroeconomic Determinants of the US Term-Structure during the Great Moderation," Working Papers 274, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
    • Handle: RePEc:mib:wpaper:274
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    4. Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & M. Hasan Yilmaz, 2021. "Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1214-1229, November.
    5. Tanweer Akram & Huiqing Li, 2018. "The Dynamics of Japanese Government Bonds' Nominal Yields," Economics Working Paper Archive wp_906, Levy Economics Institute.
    6. Tanweer Akram & Huiqing Li, 2020. "Some Empirical Models of Japanese Government Bond Yields Using Daily Data," Economics Working Paper Archive wp_962, Levy Economics Institute.
    7. Akram, Tanweer & Li, Huiqing, 2017. "What keeps long-term U.S. interest rates so low?," Economic Modelling, Elsevier, vol. 60(C), pages 380-390.
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    More about this item

    Keywords

    Term structure of interest rates; yield curve; VAR; Factor Model;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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