THE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET

Authors : Hüseyin Kaya

Pages : 1-15

Doi:10.18825/iremjournal.329009

View : 16 | Download : 8

Publication Date : 2017-10-30

Article Type : Research

Abstract :This paper provides cross-country empirical evidence on the dynamic interactions between macroeconomy and the yield curve by utilizing two-step estimation approach. In the first step three latent yield factors are estimated using Dynamic Nelson Siegel Model and in the second step  dynamic relationship between these factors and macro factors are investigated by employing a Panel VAR model . The results suggest that there is a bidirectional link between macro variables and the yield curve. 
Keywords : verim eğrisi, panel veri, makroekonomik veriler