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Citations for "The macroeconomy and the yield curve: a dynamic latent factor approach"

by Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S.

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling bond yields in finance and macroeconomics," Working Paper Series 2005-04, Federal Reserve Bank of San Francisco. [Downloadable!]
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  2. Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  3. Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany. [Downloadable!]
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  4. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics. [Downloadable!]
  5. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive 07-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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  6. Oliver Blaskowitz & Helmut Herwatz, 2008. "Adaptive Forecasting of the EURIBOR Swap Term Structure," SFB 649 Discussion Papers SFB649DP2008-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  7. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An arbitrage-free generalized Nelson-Siegel term structure model," Working Paper Series 2008-07, Federal Reserve Bank of San Francisco. [Downloadable!]
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  8. Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(28), pages 1-20. [Downloadable!]
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  9. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics. [Downloadable!]
  10. Suzan Hol, 2006. "Determinants of long-term interest rates in the Scandinavian countries," Discussion Papers 469, Research Department of Statistics Norway. [Downloadable!]
  11. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers 05-36, Bank of Canada. [Downloadable!]
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  12. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the eurozone," Banco de España Working Papers 0827, Banco de España. [Downloadable!]
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  13. Chi-Sang Tam & Ip-Wing Yu, 2008. "Modelling sovereign bond yield curves of the US, Japan and Germany," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 82-91. [Downloadable!]
  14. Viktors Ajevskis & Kristine Vitola, 2006. "A Factor Model of the Term Structure of Interest Rates and Risk Premium Estimation for Latvia's Money Market," Working Papers 2006/01, Latvijas Banka. [Downloadable!]
  15. David Jamieson Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Working Papers 08-34, Bank of Canada. [Downloadable!]
  16. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen. [Downloadable!]
  17. Michele Modugno & Kleopatra Nikolaou, 2009. "The forecasting power of international yield curve linkages," Working Paper Series 1044, European Central Bank. [Downloadable!]
  18. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen. [Downloadable!]
  19. Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008. "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics 0807, Faculty of Economics, University of Cambridge. [Downloadable!]
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  20. Glenn D. Rudebusch & Tao Wu, 2004. "The recent shift in term structure behavior from a no-arbitrage macro-finance perspective," Working Papers in Applied Economic Theory 2004-25, Federal Reserve Bank of San Francisco. [Downloadable!]
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  21. Kwok Ping Tsang, 2008. "Forecasting Consumption Growth with the Real Term Structure," Working Papers e07-14, Virginia Polytechnic Institute and State University, Department of Economics. [Downloadable!]
  22. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Papers 14269, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. Emanuel Mönch, 2005. "Forecasting the yield curve in a data-rich environment - a no-arbitrage factor-augmented VAR approach," Working Paper Series 544, European Central Bank. [Downloadable!]
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  24. Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400. [Downloadable!]
  25. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Department of Economics, University of Glasgow. [Downloadable!]
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  26. María-Dolores, Ramon & Vázquez, Jesús & Londoño, Juan M., 2009. "On the informational role of term structure in the US monetary policy rule," Annals of Computational Economics 4699, Murcia University, DIGITUM. Universidad de Murcia. [Downloadable!]
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  27. Meredith Beechey, 2006. "A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news," Finance and Economics Discussion Series 2007-06, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  28. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco. [Downloadable!]
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  29. Leo Krippner, 2009. "A theoretical foundation for the Nelson and Siegel class of yield curve models," Reserve Bank of New Zealand Discussion Paper Series DP2009/10, Reserve Bank of New Zealand. [Downloadable!]
  30. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-time measurement of business conditions," Working Papers 08-19, Federal Reserve Bank of Philadelphia. [Downloadable!]
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  31. Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  32. Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(2), pages 193-224, November. [Downloadable!]
  33. Guidolin, Massimo & Timmermann, Allan G, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  34. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia," SFB 649 Discussion Papers SFB649DP2008-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  35. Carlo A. Favero & Linlin Niu & Luca Sala, 2007. "Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set," Working Papers 318, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  36. Hiona Balfoussia & Mike Wickens, 2006. "Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 261-277. [Downloadable!]
  37. C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007. "On forecasting the term structure of credit spreads," Working Paper 0705, Federal Reserve Bank of Cleveland. [Downloadable!]
  38. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada. [Downloadable!]
  39. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO. [Downloadable!]
  40. Mathias Drehmann & Steffen Sorensen & Marco Stringa, . "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England. [Downloadable!]
  41. Ghent, Andra, 2007. "Why do markets react badly to good news? Evidence from Fed Funds Futures," MPRA Paper 1708, University Library of Munich, Germany. [Downloadable!]
  42. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics. [Downloadable!]
  43. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The bond yield "conundrum" from a macro-finance perspective," Working Paper Series 2006-16, Federal Reserve Bank of San Francisco. [Downloadable!]
  44. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
  45. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
    ," Working Papers 07-21, Bank of Canada. [Downloadable!]
  46. Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007. [Downloadable!]
  47. Carlo A. Favero & Stefano W. Giglio, 2006. "Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods," Working Papers 312, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  48. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco. [Downloadable!]
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  49. Fan, Longzhen & Johansson, Anders C., 2009. "What Moves Bond Yields In China?," Working Paper Series 2009-9, China Economic Research Center, Stockholm School of Economics. [Downloadable!]
  50. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group. [Downloadable!]
  51. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "This paper presents and estimates a regime switching macro-finance model of the term structure with latent and macroeconomic factors. The joint dynamics of the yield and macro factors are examined sim," Economic Growth centre Working Paper Series 0901, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
  52. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "Global Yield Curves and Sovereign Bond Market Integration," Economic Growth centre Working Paper Series 0902, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
  53. Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato, Department of Economics. [Downloadable!]
  54. Bandholz, Harm & Clostermann, Joerg & Seitz, Franz, 2007. "Explaining the US Bond Yield Conundrum," MPRA Paper 2386, University Library of Munich, Germany. [Downloadable!]
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  55. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, School of Economics and Management, University of Aarhus. [Downloadable!]
  56. Paola Donati & Francesco Donati, 2008. "Modelling and forecasting the yield curve under model uncertainty," Working Paper Series 917, European Central Bank. [Downloadable!]
  57. Chadha, J.S. & Holly, S., 2006. "Macroeconomic Models and the Yield Curve: An assessment of the Fit," Cambridge Working Papers in Economics 0640, Faculty of Economics, University of Cambridge. [Downloadable!]
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This page was last updated on 2010-1-4.

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