Year 2017, Volume 5 , Issue 3, Pages 1 - 15 2017-10-30

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

Hüseyin KAYA [1]


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. 

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. 

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Subjects Social
Journal Section ARTICLES
Authors

Author: Hüseyin KAYA
Institution: İSTANBUL MEDENİYET ÜNİVERSİTESİ
Country: Turkey


Dates

Application Date : July 17, 2017
Acceptance Date : September 27, 2017
Publication Date : October 30, 2017

Bibtex @research article { iremjournal329009, journal = {International Review of Economics and Management}, issn = {2148-3493}, address = {}, publisher = {Gökhan ÖZER}, year = {2017}, pages = {1 - 15}, doi = {10.18825/iremjournal.329009}, title = {THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET}, key = {cite}, author = {Kaya, Hüseyin} }
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 . DOI: 10.18825/iremjournal.329009
MLA Kaya, H . "THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET" . International Review of Economics and Management 5 (2017 ): 1-15 <https://dergipark.org.tr/en/pub/iremjournal/article/329009>
Chicago Kaya, H . "THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET". International Review of Economics and Management 5 (2017 ): 1-15
RIS TY - JOUR T1 - THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET AU - Hüseyin Kaya Y1 - 2017 PY - 2017 N1 - doi: 10.18825/iremjournal.329009 DO - 10.18825/iremjournal.329009 T2 - International Review of Economics and Management JF - Journal JO - JOR SP - 1 EP - 15 VL - 5 IS - 3 SN - 2148-3493- M3 - doi: 10.18825/iremjournal.329009 UR - https://doi.org/10.18825/iremjournal.329009 Y2 - 2017 ER -
EndNote %0 International Review of Economics and Management THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET %A Hüseyin Kaya %T THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET %D 2017 %J International Review of Economics and Management %P 2148-3493- %V 5 %N 3 %R doi: 10.18825/iremjournal.329009 %U 10.18825/iremjournal.329009
ISNAD Kaya, Hüseyin . "THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET". International Review of Economics and Management 5 / 3 (October 2017): 1-15 . https://doi.org/10.18825/iremjournal.329009
AMA Kaya H . THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET. International Review of Economics and Management. 2017; 5(3): 1-15.
Vancouver Kaya H . THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET. International Review of Economics and Management. 2017; 5(3): 1-15.
IEEE H. Kaya , "THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET", International Review of Economics and Management, vol. 5, no. 3, pp. 1-15, Oct. 2017, doi:10.18825/iremjournal.329009