TY  - JOUR
AU  - Diebold,Francis X.
AU  - Rudebusch,Glenn D.
AU  - Aruoba,S. Boragan
TI  - The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10616
PY  - 2004
Y2  - July 2004
UR  - http://www.nber.org/papers/w10616
L1  - http://www.nber.org/papers/w10616.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Glenn Rudebusch
Federal Reserve Bank of San Francisco
Economic Research, MS 1130
101 Market Street
San Francisco, CA  94105-9967
Tel: 415-974-3173
E-Mail: glenn.rudebusch@sf.frb.org

S. Boragan Aruoba
Department of Economics
University of Maryland
3105 Tydings Hall
College Park, MD 20742-7211
Tel: 301/405-3523
E-Mail: aruoba@econ.umd.edu
AB  - We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity, inflation, and the monetary policy instrument). Our goal is to provide a characterization of the dynamic interactions between the macroeconomy and the yield curve. We find strong evidence of the effects of macro variables on future movements in the yield curve and evidence for a reverse influence as well. We also relate our results to the expectations hypothesis.
ER  -