No-arbitrage macroeconomic determinants of the yield curve

Journal of Econometrics

Volumn 159, Issue 1, 2010, Pages 166-182

  Bikbov, Ruslan ^a   Chernov, Mikhail ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Kalman filter; Macro finance models; Term structure; Variance decomposition

Indexed keywords

FACTOR MODEL; LATENT FACTOR; RECURSIVE IDENTIFICATION; TERM STRUCTURE; VARIANCE DECOMPOSITION; YIELD CURVE;

DECOMPOSITION; KALMAN FILTERS;

FINANCIAL DATA PROCESSING;

EID: 78650563106     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.05.004     Document Type: Article

References (42)

1. At-Sahalia, Y., Kimmel, R., 2009. Estimating Affine multifactor term structure models using closed-form likelihood expansions. Journal of Financial Economics (forthcoming).
2. A. Ang, G. Bekaert, and M. Wei The term structure of real rates and expected inflation Journal of Finance 63 2008 797 849
3. Ang, A., Dong, S., Piazzesi, M., 2004. No-arbitrage Taylor rules. Working Paper. Columbia University.
4. A. Ang, and M. Piazzesi A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables Journal of Monetary Economics 50 2003 745 787
5. D. Backus, S. Foresi, and C. Telmer Discrete time models of bond pricing N. Jegadeesh, B. Tuckman, Advanced Fixed-Income Valuation Tools 1999 Wiley and Sons New York, NY
6. G. Bekaert, S. Cho, and A. Moreno New-Keynesian macroeconomics and the term structure Journal of Money, Credit and Banking 42 2010 33 62
7. J. Benhabib, S. Schmitt-Grohe, and M. Uribe Monetray policy and multiple equilibria American Economic Review 91 2001 167 186
8. M. Bils, and P.J. Klenow Some evidence on the importance of sticky prices Journal of Political Economy 112 2004 947 985
9. A.S. Blinder, and J.L. Yellen The Fabulous Decade. Macroeconomic Lessons from the 1990s 2001 The Century Foundation Press New York, NY
10. J. Boivin, and B. Bernanke Monetary policy in a data-rich environment Journal of Monetary Economics 50 2003 525 546
11. Brandt, M.W., He, P., 2002. Simulated likelihood estimation of affine term structure models from panel data. Working Paper. Wharton.
12. R.-R. Chen, and L.O. Scott Maximum likelihood estimation of a multi-factor equilibrium model of the term structure of interest rates Journal of Fixed Income 1993 14 31
13. Chernov, M., Mueller, P., 2008. The term structure of inlation forecasts. CEPR Working Paper No. 6809.
14. L.J. Christiano, M. Eichenbaum, and C.L. Evans Monetary policy shocks: what have we learned and to what end? J. Taylor, M. Woodford, Handobook of Macroeconomics 1999 Elsevier Science Amsterdam
15. P. Collin-Dufresne, R. Goldstein, and C. Jones Can interest rate volatility be extracted from the cross section of bond yields? An investigation of unspanned stochastic volatility Journal of Financial Economics 94 2009 47 66
16. T. Conley, L.P. Hansen, and W. Liu Bootstrapping the long run Macroeconomic Dynamics 1 1997 279 311
17. Dai, Q., Philippon, T., 2004. Fiscal policy and the term structure of interest rates. Working Paper. New York University.
18. Q. Dai, and K. Singleton Specification analysis of affine term structure models Journal of Finance 55 2000 1943 1978
19. Q. Dai, and K. Singleton Expectation puzzles, time-varying risk premia, and dynamic models of the term structure Journal of Financial Economics 63 2002 415 441
20. Q. Dai, K. Singleton, and W. Yang Regime shifts in a dynamic term structure model of US Treasury bond yields Review of Financial Studies 20 2007 1669 1706
21. F. de Jong Time series and cross-section information in affine term structure models Journal of Business and Economic Statistics 18 2000 300 314
22. F.X. Diebold, G.D. Rudebusch, and S.B. Aruoba The macroeconomy and the yield curve: a dynamic latent factor approach Journal of Econometrics 131 2006 309 338
23. G.R. Duffee Term premia and interest rate forecasts in affine models Journal of Finance 57 2002 405 443
24. G.R. Duffee Term structure estimation without using latent factors Journal of Financial Economics 79 2006 507 536
25. Duffee, G.R., 2007. Are variations in term premia related to the macroeconomy? Working Paper. UC, Berkeley.
26. Duffee, G.R., Stanton, R., 2004. Estimation of dynamic term structure models. Working Paper. University of California at Berkeley.
27. A. Estrella, and G.A. Hardouvelis The term structure as a predictor of real economic activity Journal of Finance 46 1991 555 576
28. A. Estrella, and F. Mishkin Predicting US recessions: financial variables as leading indicators Review of Economics and Statistics 80 1998 45 61 (Pubitemid 128071465)
29. Evans, C.L., Marshall, D.A., 2002. Economic determinants of the nominal treasury yield curve. Working Paper WP 2001-16 Revised. Federal Reserve Bank of Chicago.
30. M. Gallmeyer, B. Hollifield, and S. Zin Taylor rules, McCallum rules, and the term structure of interest rates Journal of Monetary Economics 52 2005 921 950
31. M. Goodfriend Interest rate policy and the inflation scare problem: 19791992 Federal Reserve Bank of Richmond Economic Quarterly 79 1993 1 23
32. J.D. Hamilton Time Series Analysis 1994 Princeton University Press Princeton, NJ
33. P. Hrdahl, O. Tristani, and D. Vestin A joint econometric model of macroeconomic and term structure dynamics Journal of Econometrics 131 2006 405 444
34. Law, P., 2004. Macro factors and the yield curve. Ph.D. Dissertation. Stanford University.
35. Liptser, R.S., 1997. Stochastic Control, Lecture Notes. Tel Aviv University.
36. R. Litterman, and J. Scheinkman Common factors affecting bond returns Journal of Fixed Income 3 1991 34 61
37. S.C. Ludvigson, and S. Ng Macro factors in bond risk premia Review of Financial Studies 22 2009 5027 5067
38. F. Mishkin, and E.N. White Stock market bubbles: when does intervention work? Milken Institute Review 2003
39. Mueller, P., 2008. Credit spreads and real activity. Working Paper. London School of Economics.
40. G. Rudebusch Term structure evidence on interest rate smoothing and monetray policy inertia Journal of Monetary Economics 49 2002 1161 1187
41. Rudebusch, G., Wu, T., 2005. A macro-finance model of the term structure, monetray policy and the economy. Working Paper. Federal Reserve Bank of San Francisco.
42. M. Woodford Interest and Prices 1st ed. 2003 Princeton University Press Princeton, NJ