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The Macroeconomic Determinants of the US Term-Structure during the Great Moderation

  • Alessia Paccagnini

The aim of this paper is to study how the macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent factors which correspond to the level, the slope, and the curvature of the yield curve. As policy implication, the interpolated term structure suggests us how all the macro shocks impact on the overall yield curve, even if the impact has a different magnitude across maturities.

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File URL: http://dems.unimib.it/repec/pdf/mibwpaper274.pdf
File Function: First version, 2014
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Paper provided by University of Milano-Bicocca, Department of Economics in its series Working Papers with number 274.

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Length: 27
Date of creation: Jun 2014
Date of revision: Jun 2014
Handle: RePEc:mib:wpaper:274
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  23. Marco Rodriguez Waldo & Carlos I. Medeiros, 2011. "The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007–10," IMF Working Papers 11/84, International Monetary Fund.
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