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搜索结果: 1-6 共查到理论经济学 Yield Curve相关记录6条 . 查询时间(0.079 秒)
We estimate a model that summarizes the yield curve using latent factors (specifically, level,slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity,in...
A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogeneity. We bu...
This paper develops an arbitrage-free time-series model of yields in continuous time that incorporates central bank policy. Policy-related events, such as FOMC meetings and releases of macroeconomic...
The article presents the author commentaries of Monika Piazzesi and Martin Schneider's "Bond Positions, Expectations, and the Yield Curve." It refers to the integration of macroeconomics and finance i...
This paper presents an answer to why the yield curve tends to invert one year before a recession. The capital-based macroeconomic model used in this paper traces out the effects of an injection of s...
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market p...

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