Intelligible factors for the yield curve

DOI10.1016/J.JECONOM.2010.04.001zbMath1431.62479OpenAlexW2166019109MaRDI QIDQ736543

Carlos Lenz, Yvan Lengwiler

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.snb.ch/n/mmr/reference/working_paper_2008_02/source/working_paper_2008_02.n.pdf

zbMATH Keywords

term structure of interest ratesmonetary policy shocksdynamic factor modelvector autoregression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure

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