Title of article :
Macroeconomicreleasesandtheinterestratetermstructure$
Author/Authors :
Biao Lu، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
Weextracttwosystematiceconomicfactorsfromawidearrayofnoisyandsparsely
observedmacroeconomicreleases,andlinkthedynamicsandmarketpricesofthetwo
factors totheinterestratetermstructure.Thetwofactorspredict77.9–82.1%ofthedaily
variationinLIBORandswapratesfromonemonthto10years.Shocksoninflation-
related releaseshavelarge,positiveimpactsoninterestratesofallmaturities,leadingto
parallel shiftsoftheyieldcurve,butshocksonoutput-relatedreleaseshavelarger
impactsontheshortratethanonthelongrate,thusgeneratingaslopeeffect
Keywords :
Macroeconomic releasesInterestratetermstructureOptimal monetarypolicyDynamic factorsMarket pricesofeconomicrisksInflationRealoutputgrowthKalman filter
Journal title :
Journal of Monetary Economics
Journal title :
Journal of Monetary Economics
