Evolving macroeconomic perceptions and the term structure of interest rates

DOI10.1016/j.jedc.2011.08.011zbMath1238.91118OpenAlexW2064430225MaRDI QIDQ413326

Min Wei, Athanasios Orphanides

Publication date: 4 May 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/feds/2010/201001/201001pap.pdf

zbMATH Keywords

adaptive learningrecursive least squaresanticipated utilityblue chip economic indicatorsmacro term structure modelreal-time dataSPFsurvey forecasts

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; economic indices and measures (91B82)

Related Items (3)

European spreads at the interest rate lower bound ⋮ A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US ⋮ Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models

Cites Work

• A joint econometric model of macroeconomic and term-structure dynamics
• The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations
• Term structure views of monetary policy under alternative models of agent expectations
• A simple recursive forecasting model

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