Unspanned Macroeconomic Factors in the Yield Curve-Reference-Cited by-同舟云学术

Unspanned Macroeconomic Factors in the Yield Curve

Published:2016-07-02 Issue:3 Volume:34 Page:472-485
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Coroneo Laura¹,Giannone Domenico²,Modugno Michele³

Affiliation:

1. Department of Economics and Related Studies, University of York, Heslington, York YO10 5DD, United Kingdom ()

2. Research and Statistics Group, Federal Reserve Bank of New York, New York, NY 10045-0001 ()

3. Board of Governors of the Federal Reserve System, Washington, DC ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2015.1052456

Reference42 articles.

1. Altavilla, C., Giacomini, R., and Ragusa, G. (2014), “Anchoring the Yield Curve Using Survey Expectations,” ECB Working Paper, European Central Bank.

2. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

3. What does the yield curve tell us about GDP growth?

4. Determining the Number of Factors in Approximate Factor Models

5. Banbura, M., Giannone, D., Modugno, M., and Reichlin, L. (2012), “Now-Casting and the Real-Time Data Flow,” in Handbook of Economic Forecasting, eds. G. Elliott and A. Timmermann, (Vol. 2), Amsterdam: Elsevier-North Holland, pp. 195–237.

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