Title of article
Macroeconomicreleasesandtheinterestratetermstructure$
Author/Authors
Biao Lu، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
13
From page
872
To page
884
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
Serial Year
2008
Journal title
Journal of Monetary Economics
Record number
846338
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