No-arbitrage macroeconomic determinants of the yield curve

DOI10.1016/j.jeconom.2010.05.004zbMath1431.62469OpenAlexW2035852845MaRDI QIDQ736697

Ruslan Bikbov, Mikhail Chernov

Publication date: 4 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.05.004

zbMATH Keywords

Kalman filterterm structurevariance decompositionmacro-finance models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS ⋮ Government debt, learning and the term structure ⋮ The origins and effects of macroeconomic uncertainty ⋮ The effects of monetary policy regime shifts on the term structure of interest rates ⋮ Macroeconomic environment, money demand and portfolio choice ⋮ Yield curve in an estimated nonlinear macro model ⋮ Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy

Cites Work

• Unnamed Item
• The macroeconomy and the yield curve: a dynamic latent factor approach
• A joint econometric model of macroeconomic and term-structure dynamics
• BOOTSTRAPPING THE LONG RUN

This page was built for publication: No-arbitrage macroeconomic determinants of the yield curve