Term structure surprises: The predictive content of curvature, level, and slope

Journal of Applied Econometrics

Volumn 27, Issue 4, 2012, Pages 574-602

  Moench, Emanuel ^a  

^a FEDERAL RESERVE BANK OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84866292115     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.1220     Document Type: Article

References (31)

1. Aguilar O, West M. 2000. Bayesian dynamic factor models and portfolio allocation. Journal of Business and Economic Statistics 18(3): 338-357.
2. Ahmadi PA, Uhlig H. 2009. Measuring the dynamic effects of monetary policy shocks: a Bayesian FAVAR approach with sign restrictions. Mimeo, University of Chicago.
3. Ang A, Piazzesi M. 2003. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics 50(4): 745-787.
4. Ang A, Piazzesi M, Wei M. 2006. What does the yield curve tell us about GDP growth? Journal of Econometrics 127(1-2): 359-403.
5. Bernanke BS, Boivin J. 2003. Monetary policy in a data-rich environment. Journal of Monetary Economics 50(3): 525-546.
6. Bernanke B, Boivin J, Eliasz PS. 2005. Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics 120(1): 387-422.
7. Carter CK, Kohn R. 1994. On Gibbs sampling for state space models. Biometrika 81: 541-553.
8. Dewachter H, Lyrio M. 2006. Macro factors and the term structure of interest rates. Journal of Money, Credit, and Banking 38(1): 119-140.
9. Diebold FX, Li C. 2006. Forecasting the term structure of government bond yields. Journal of Econometrics 127(1-2): 337-364.
10. Diebold FX, Piazzesi M, Rudebusch G. 2005. Modeling bond yields in finance and macroeconomics. American Economic Review Papers and Proceedings 95(2): 415-420.
11. Diebold FX, Rudebusch GD, Aruoba BS. 2006. The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics 127(1-2): 309-338.
12. Estrella A, Hardouvelis GA. 1991. The term structure as a predictor of real economic activity. Journal of Finance 46(2): 555-576.
13. Estrella A, Mishkin FS. 1998. Financial variables as leading indicators predicting U.S. recessions. Review of Economics and Statistics 80(1): 45-61.
14. Evans CL, Marshall D. 2004. Economic determinants of the nominal Treasury yield curve. Mimeo, Federal Reserve Bank of Chicago.
15. Geweke J. 1992. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments. In Bayesian Statistics, Vol. 4, Bernardo JM, Berger JO, Dawid AP, Smith AFM (eds). Oxford University Press: Oxford; 169-194.
16. Giannone D, Reichlin L, Sala L. 2004. Monetary policy in real time. NBER Macroeconomics Annual. MIT Press: Cambridge, MA; 161-225.
17. Hamilton J, Waggoner DF, Zha T. 2007. Normalization in econometrics. Econometric Reviews 26(2-4): 221-252.
18. Ḧordahl P, Tristani O, Vestin D. 2006. A joint econometric model of macroeconomic and term-structure dynamics. Journal of Econometrics 127(1-2): 405-444.
19. Justiniano A. 2004. Estimation and model selection in dynamic factor analysis. Mimeo, Princeton University.
20. Kadiyala KR, Karlsson S. 1997. Numerical methods for estimation and inference in Bayesian VAR-models. Journal of Applied Econometrics 12(2): 99-132.
21. Kass RE, Raftery AE. 1995. Bayes factors. Journal of the American Statistical Association 90(430): 773-795.
22. Kim C-J, Nelson CR. 1999. State Space Models with Regime Switching. MIT Press: Cambridge, MA.
23. Kose MA, Otrok C, Whiteman CH. 2003. International business cycles: world, region, and country-specific factors. American Economic Review 93(4): 1216-1239.
24. Kurmann A, Otrok C. 2010. News shocks and the slope of the term structure of interest rates. Mimeo, University of Virginia.
25. Moench E. 2008. Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach. Journal of Econometrics 146: 26-43.
26. Mountford A, Uhlig H. 2009. What are the effects of fiscal policy shocks? Journal of Applied Econometrics 24(6): 960-992.
27. Nelson CR, Siegel AF. 1987. Parsimonious modeling of yield curves. Journal of Business 60(4): 473-489.
28. Raftery AE, Lewis S. 1992. How many iterations in the Gibbs sampler? In Bayesian Statistics, Vol. 4, Bernardo JM, Berger JO, Dawid AP, Smith AFM (eds). Oxford University Press: Oxford; pp. 763-773.
29. Rubio-Ramírez JF, Waggoner DF, Zha T. 2010. Structural vector autoregressions: theory of identification and algorithms for inference. Review of Economic Studies 77(2): 665-696.
30. Sarno L, Thornton DL. 2004. The efficient market hypothesis and identification in structural VARs. Federal Reserve Bank of St Louis Review 86(1): 49-60.
31. Uhlig H. 2005. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics 52(2): 381-419.