The Yield Curve and the Macro-economy across Time and Frequencies
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, esti...
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| Other Authors: | , |
| Format: | other |
| Language: | eng |
| Published: |
2010
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| Subjects: | |
| Online Access: | https://repositorio-aberto.up.pt/handle/10216/71284 |
| Country: | Portugal |
| Oai: | oai:repositorio-aberto.up.pt:10216/71284 |