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

• Type: Article in International Scientific Journal
• Date: 2012

Authors

Luís Aguiar-Conraria (Author) Other; Manuel Mota Freitas Martins (Author) FEP; Maria Joana Soares (Author) Other

Journal

Title: JOURNAL OF ECONOMIC DYNAMICS & CONTROL

Vol. 36 No. 12

Pages: 1950-1970

ISSN: 0165-1889

Publisher: Elsevier Science

Indexing

ISI Web of Knowledge - 86 Citations

ISI Web of Science

Scopus - 91 Citations

Econlit

Scientific classification

FOS: Social sciences > Economics and Business

CORDIS: Social sciences > Economics

Other information

Authenticus ID: 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.

Language: English

Type (Professor's evaluation): Scientific