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THE MACROECONOMY and THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET

Yıl 2017, Cilt: 5 Sayı: 3, 1 - 15, 30.10.2017
https://doi.org/10.18825/iremjournal.329009

Öz

This paper provides cross-country empirical evidence
on the dynamic interactions between macroeconomy and the yield curve by utilizing
two-step estimation approach. In the first step three latent yield factors are
estimated using Dynamic Nelson Siegel Model and in the second step
dynamic relationship between these
factors and macro factors are investigated by employing a Panel VAR model
. The results suggest that there is
a bidirectional link between macro variables and the yield curve. 

Kaynakça

  • Andrew, D.W.K and B. Lu., 2001. Consistent model and moment slection precedures for GMM estimation with application to dynamic panel data models. Journal of Econometrics, 101; 123-164. Ang, A., Boivin, J.S.D., Loo-Kung, R., 2011. Monetary Policy Shifts and the Term Structure. The Review of Economic Studies 78; 429-57. Ang, A., Dong, S., Piazzesi, M., 2007. No-arbitrate Taylor rule. NBER Working Paper No. 13448. National Bureau of Economic Research. Ang, A., Piazzesi, M., 2003. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and laten variables. Journal of Monetary Economics 50; 745-87. Ang, A., Piazzesi, M., Wei, M., 2006. What does the yield curve tell us about GDP growth. Journal of Econometrics 131; 359-403. Arellano, M., Bover, O., 1995. Another look at the instrumental variable estimation of error component models. Journal of Econoetrics 68; 29-51. Bernanke, B., Reinhart, V., Sack, B., 2004. Monetary policy alternatives at the zero bouns: an empirical assesment. Brooking Papers on Economic Activity 2; 1-78. Chinn, M.D., Kucko, K.J., 2010. The predictive power of the yield curve across countries and time. NBER Working Paper, No: 16398. Christensen, J., Diebold, F., Rudebusch, G., 2011. The affine arbitrage-free class of nelson-siegel term structure models. Journal of Econometrics 161; 4-20. Dewachter, H., Lyrio, M., 2006. Macro Factors and the Term Structure of Interest Rates. Journal of Money, Credit and Banking 38; 119-40. Diebold, F., Li, C., 2006. Forecasting the term structure of goverment bond yields. Journal of Econometrics 130; 337-64. Diebold, F., Rudebusch, G., Aruoba, S., 2006. The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics 131; 309-38. Estrella, H., Hardouvelis, G., 1991. The term structure as a predictor of real economic activity. Journal of Finance 46; 555–576. Estrella, A., Mishkin, F., 1998. Predicting US recessions: financial variables as leading indicators. Review of Economics and Statistics 80; 45–61. Evans, C.L., Marshall, D.A., 2007. Economic determinants of the nominal treasury yield curve. Journal of Monetary Economics 54; 1986-2003. Love, I., Zicchino, L., 2006. Financial development and dynamic investment behavior: evidence from panel VAR. The Quarterly Review of Economics and Finance 46; 190-210. Mishkin, F., 1990. What does the term structure tell us abut future inflation? Journal of Monetary Economics 25; 77-95. Modena, M., 2011. A Macroeconomic Analysis of the Latent Factors of the Yield Curve. In Gregoriou, G. & Pascalau, R. Financial Econometrics Modelling: Derivatives Pricing and Hedge Funds and Term Structure Models. Palgrave-MacMillan. Moench, E. 2012. Term structure surprises: the predictive content of curvature, level, and slope. Journal of Applied Econometrics, 27(4), 574-602. Rudebusch, G., Swensson, L., 1999. Policy rules for inflation targeting. In Taylor, J. Monetary policy rules. Chicago: University of Chicago Press. 203-46. Christensen, J. H., Diebold, F. X., & Rudebusch, G. D. 2009. An arbitrage‐free generalized Nelson–Siegel term structure model. The Econometrics Journal, 12(3). Rudebusch, G.D., Wu, T., 2008. Macro-finance model of the term structure, monetary policy, and the economy. The Economic Journal 118; 906-26. Sarno, L., DL., T., 2004. The efficient market hypothesis and identification in structural VARs. Federal Reserve Bank of St Louis Review 86; 49–60. Smith, J.M., Taylor, J.B., 2009. The term structure of policy rules. Journal of Monetary Economics 56; 907-17. Taylor, J., 1993. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy 39; 195–214. Wright, J.H., 2011. Term Premia and Infation Uncertainty: Empirical Evidence from an International Panel dataset. American Economic Review 101; 1514-1534. Wu, T., 2002. Monetary policy and the slope factor in empirical term structure estimations. FRB San Francisco Working Paper 2002-07.

THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET

Yıl 2017, Cilt: 5 Sayı: 3, 1 - 15, 30.10.2017
https://doi.org/10.18825/iremjournal.329009

Öz

This paper provides cross-country empirical evidence on the dynamic interactions between macroeconomy and the yield curve by utilizing two-step estimation approach. In the first step three latent yield factors are estimated using Dynamic Nelson Siegel Model and in the second step dynamic relationship between these factors and macro factors are investigated by employing a Panel VAR model. The results suggest that there is a bidirectional link between macro variables and the yield curve. 

Kaynakça

  • Andrew, D.W.K and B. Lu., 2001. Consistent model and moment slection precedures for GMM estimation with application to dynamic panel data models. Journal of Econometrics, 101; 123-164. Ang, A., Boivin, J.S.D., Loo-Kung, R., 2011. Monetary Policy Shifts and the Term Structure. The Review of Economic Studies 78; 429-57. Ang, A., Dong, S., Piazzesi, M., 2007. No-arbitrate Taylor rule. NBER Working Paper No. 13448. National Bureau of Economic Research. Ang, A., Piazzesi, M., 2003. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and laten variables. Journal of Monetary Economics 50; 745-87. Ang, A., Piazzesi, M., Wei, M., 2006. What does the yield curve tell us about GDP growth. Journal of Econometrics 131; 359-403. Arellano, M., Bover, O., 1995. Another look at the instrumental variable estimation of error component models. Journal of Econoetrics 68; 29-51. Bernanke, B., Reinhart, V., Sack, B., 2004. Monetary policy alternatives at the zero bouns: an empirical assesment. Brooking Papers on Economic Activity 2; 1-78. Chinn, M.D., Kucko, K.J., 2010. The predictive power of the yield curve across countries and time. NBER Working Paper, No: 16398. Christensen, J., Diebold, F., Rudebusch, G., 2011. The affine arbitrage-free class of nelson-siegel term structure models. Journal of Econometrics 161; 4-20. Dewachter, H., Lyrio, M., 2006. Macro Factors and the Term Structure of Interest Rates. Journal of Money, Credit and Banking 38; 119-40. Diebold, F., Li, C., 2006. Forecasting the term structure of goverment bond yields. Journal of Econometrics 130; 337-64. Diebold, F., Rudebusch, G., Aruoba, S., 2006. The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics 131; 309-38. Estrella, H., Hardouvelis, G., 1991. The term structure as a predictor of real economic activity. Journal of Finance 46; 555–576. Estrella, A., Mishkin, F., 1998. Predicting US recessions: financial variables as leading indicators. Review of Economics and Statistics 80; 45–61. Evans, C.L., Marshall, D.A., 2007. Economic determinants of the nominal treasury yield curve. Journal of Monetary Economics 54; 1986-2003. Love, I., Zicchino, L., 2006. Financial development and dynamic investment behavior: evidence from panel VAR. The Quarterly Review of Economics and Finance 46; 190-210. Mishkin, F., 1990. What does the term structure tell us abut future inflation? Journal of Monetary Economics 25; 77-95. Modena, M., 2011. A Macroeconomic Analysis of the Latent Factors of the Yield Curve. In Gregoriou, G. & Pascalau, R. Financial Econometrics Modelling: Derivatives Pricing and Hedge Funds and Term Structure Models. Palgrave-MacMillan. Moench, E. 2012. Term structure surprises: the predictive content of curvature, level, and slope. Journal of Applied Econometrics, 27(4), 574-602. Rudebusch, G., Swensson, L., 1999. Policy rules for inflation targeting. In Taylor, J. Monetary policy rules. Chicago: University of Chicago Press. 203-46. Christensen, J. H., Diebold, F. X., & Rudebusch, G. D. 2009. An arbitrage‐free generalized Nelson–Siegel term structure model. The Econometrics Journal, 12(3). Rudebusch, G.D., Wu, T., 2008. Macro-finance model of the term structure, monetary policy, and the economy. The Economic Journal 118; 906-26. Sarno, L., DL., T., 2004. The efficient market hypothesis and identification in structural VARs. Federal Reserve Bank of St Louis Review 86; 49–60. Smith, J.M., Taylor, J.B., 2009. The term structure of policy rules. Journal of Monetary Economics 56; 907-17. Taylor, J., 1993. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy 39; 195–214. Wright, J.H., 2011. Term Premia and Infation Uncertainty: Empirical Evidence from an International Panel dataset. American Economic Review 101; 1514-1534. Wu, T., 2002. Monetary policy and the slope factor in empirical term structure estimations. FRB San Francisco Working Paper 2002-07.
Toplam 1 adet kaynakça vardır.

Ayrıntılar

Bölüm MAKALELER
Yazarlar

Hüseyin Kaya

Yayımlanma Tarihi 30 Ekim 2017
Gönderilme Tarihi 17 Temmuz 2017
Kabul Tarihi 27 Eylül 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 5 Sayı: 3

Kaynak Göster

APA Kaya, H. (2017). THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET. International Review of Economics and Management, 5(3), 1-15. https://doi.org/10.18825/iremjournal.329009