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

Yıl 2017, , 1 - 15, 30.10.2017

Hüseyin Kaya

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. 

Anahtar Kelimeler

yield curve, macroeconomic variables, interest rates

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

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. 

Anahtar Kelimeler

verim eğrisi, panel veri, makroekonomik veriler

Kaynakça

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