The Yield Curve and the Macro-economy across Time and Frequencies

• Tipo: Artigo em Revista Científica Internacional
• Data: 2012

Autores

Luís Aguiar-Conraria (Autor) Outra; Manuel Mota Freitas Martins (Autor) FEP; Maria Joana Soares (Autor) Outra

Revista

Título: JOURNAL OF ECONOMIC DYNAMICS & CONTROL

Vol. 36 Nº 12

Páginas: 1950-1970

ISSN: 0165-1889

Editora: Elsevier Science

Indexação

ISI Web of Knowledge - 86 Citações

ISI Web of Science

Scopus - 91 Citações

Econlit

Classificação Científica

FOS: Ciências sociais > Economia e gestão

CORDIS: Ciências Sociais > Economia

Outras Informações

ID Authenticus: P-002-37W

DOI: 10.1016/j.jedc.2012.05.008

Abstract (EN): We assess the relation between the yield curve and the macroeconomy in the U.S. between 1961 and 2011. We add to the standard parametric macro-finance models, as we uncover evidence simultaneously on the time and frequency domains. We model the shape of the yield curve by latent factors corresponding to its level, slope and curvature. The macroeconomic variables measure real activity, inflation and monetary policy. The tools of wavelet analysis, the set of variables and the length of the sample allow for a thorough appraisal of the time-variation in the direction, intensity, synchronization and periodicity of the yield curve–macroeconomy relation.

Idioma: Inglês

Tipo (Avaliação Docente): Científica