The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence

32 Pages Posted: 13 Apr 2005

See all articles by Zeno Rotondi

Zeno Rotondi

UNICREDIT; LUISS Guido Carli University

Date Written: March 16, 2005

Abstract

This work focuses on the recent literature - started by the seminal article of Ang and Piazzesi (2003) - aimed at developing macro-finance models that combine finance specifications of the term structure of interest rates with standard macroeconomic aggregate relationships for output and inflation. We review the alternative models proposed in this new literature and discuss their main features. An alternative analysis based on the theory of cointegrated vector autoregressive models is developed and tested with the data available for the US.

Keywords: Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model

JEL Classification: G1, E4, C5

Suggested Citation

Rotondi, Zeno, The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence (March 16, 2005). Available at SSRN: https://ssrn.com/abstract=687783 or http://dx.doi.org/10.2139/ssrn.687783

Zeno Rotondi (Contact Author)

UNICREDIT ( email )

VIA SPECCHI 16
ROME, 00186
Italy

HOME PAGE: http://docenti.luiss.it/rotondi

LUISS Guido Carli University ( email )

Via O. Tommasini 1
Rome, Roma 00100
Italy

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