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

Author

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  • Alessia Paccagnini

Abstract

We study the relation between the macroeconomic variables and the term structure of interest rates during the Great Moderation. We interpolate a term structure using three latent factors of the yield curve to analyze the responses of all maturities to macroeconomic shocks. A Nelson–Siegel model is implemented to estimate the latent factors which correspond to the level, the slope, and the curvature of the curve. As policy implication, the interpolated term structure informs the policymaker how all the macroeconomic shocks impact the whole term structure, even if the impact has a different magnitude across maturities.

Suggested Citation

  • Alessia Paccagnini, 2016. "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications 10197/7324, School of Economics, University College Dublin.
    • Handle: RePEc:ucn:oapubs:10197/7324
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    File URL: http://hdl.handle.net/10197/7324
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    Cited by:

    1. Almeida, Thiago Ramos, 2024. "Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility," Research in International Business and Finance, Elsevier, vol. 70(PA).
    2. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
    3. Akram, Tanweer & Li, Huiqing, 2017. "What keeps long-term U.S. interest rates so low?," Economic Modelling, Elsevier, vol. 60(C), pages 380-390.
    4. Shang, Yuhuang & Zheng, Tingguo, 2018. "Fitting and forecasting yield curves with a mixed-frequency affine model: Evidence from China," Economic Modelling, Elsevier, vol. 68(C), pages 145-154.
    5. Tanweer Akram & Huiqing Li, 2020. "The Empirics of UK Gilts' Yields," Economics Working Paper Archive wp_969, Levy Economics Institute.
    6. Anupam Das & Tanweer Akram, 2020. "A Keynesian analysis of Canadian government securities yields," PSL Quarterly Review, Economia civile, vol. 73(294), pages 241-260.
    7. Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & M. Hasan Yilmaz, 2021. "Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1214-1229, November.
    8. Tanweer Akram & Huiqing Li, 2018. "The Dynamics of Japanese Government Bonds' Nominal Yields," Economics Working Paper Archive wp_906, Levy Economics Institute.
    9. Tanweer Akram & Huiqing Li, 2020. "Some Empirical Models of Japanese Government Bond Yields Using Daily Data," Economics Working Paper Archive wp_962, Levy Economics Institute.
    10. Polat, Onur & Ozkan, Ibrahim, 2019. "Transmission mechanisms of financial stress into economic activity in Turkey," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 395-415.

    More about this item

    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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