Please use this identifier to cite or link to this item:
Author(s): Luis Aguiar-Conraria
Manuel Mota Freitas Martins
Maria Joana Soares
Title: The Yield Curve and the Macro-economy across Time and Frequencies
Issue Date: 2010
Abstract: This paper assesses the relation between the yield curve and the main macroeconomic variables in the U.S. between early 1960s and 2009 across time and frequencies, using wavelet analyses. The shape of the yield curve is modelled by latent factors corresponding to its level, slope and curvature, estimated by maximum likelihood with the Kalman filter.The macroeconomic variables measure economic activity, unemployment, inflation and the fed funds rate. The cross wavelet tools employed - coherency and phase difference -, the set of variables and the length of the sample, allow for a thorough appraisal of the timevariationand structural breaks in the direction, intensity, synchronization and periodicity of the relation between the yield curve and the macro-economy. Our evidence establishes a number of new stylized facts on the yield curve-macro relation; and sheds light on several results found in the literature, which could not have been achieved with analyses conductedstrictly in the time-domain (as most of the literature) or purely in the frequency-domain.
Subject: Economia, Economia e gestão
Economics, Economics and Business
Scientific areas: Ciências sociais::Economia e gestão
Social sciences::Economics and Business
Document Type: Trabalho Académico
Rights: openAccess
Appears in Collections:FEP - Trabalho Académico

Files in This Item:
File Description SizeFormat 
40458.pdfCef.up Working Paper nº. 2010-04, July 20101.21 MBAdobe PDFThumbnail

This item is licensed under a Creative Commons License Creative Commons