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• W2275999744 abstract "In this paper, we propose an econometric model of the joint dynamic relationship between the Treasury yield curve components and the economy, for predicting business cycle turning points. The nonlinear multivariate dynamic factor model takes into account not only the popular slope, but also information extracted from the level and curvature of the yield curve, and from macroeconomic variables. We investigate the interrelationship between the phases of cyclical fluctuations in yield curve components and the phases of the business cycle. The results indicate a strong interrelationship between the yield curve and the economy. The proposed model has substantial incremental predictive value relative to alternative specifications. This result holds both in-sample and out-of-sample, using revised and real time unrevised data." @default.
• W2275999744 created "2016-06-24" @default.
• W2275999744 creator A5026790330 @default.
• W2275999744 creator A5082233610 @default.
• W2275999744 date "2016-04-01" @default.
• W2275999744 modified "2023-10-16" @default.
• W2275999744 title "A dynamic factor model of the yield curve components as a predictor of the economy" @default.
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• W2275999744 doi "https://doi.org/10.1016/j.ijforecast.2015.05.007" @default.
• W2275999744 hasPublicationYear "2016" @default.
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