A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy
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More about this item
KeywordsForecasting; Business Cycles; Dynamic Factor Models; Markov Switching;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-22 (All new papers)
- NEP-FOR-2012-05-22 (Forecasting)
- NEP-MAC-2012-05-22 (Macroeconomics)
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