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Wednesday, May 6, 2020 | History

2 edition of econometric model of the yield curve with macroeconomic jump effects found in the catalog.

econometric model of the yield curve with macroeconomic jump effects

Monika Piazzesi

econometric model of the yield curve with macroeconomic jump effects

by Monika Piazzesi

  • 171 Want to read
  • 29 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • United States. -- Federal Open Market Committee -- Rules and practice.,
  • Bonds -- Prices -- United States.,
  • Monetary policy -- United States.,
  • Interest rates -- United States.,
  • Yield curve.

  • Edition Notes

    StatementMonika Piazzesi.
    SeriesNBER working paper series -- no. 8246, Working paper series (National Bureau of Economic Research) -- working paper no. 8246.
    ContributionsNational Bureau of Economic Research.
    The Physical Object
    Pagination81 p. :
    Number of Pages81
    ID Numbers
    Open LibraryOL22419201M

      Accordingly, the yield curve will be steep, inducing a positively sloped yield curve suggesting an increase in long-term interest rates above short-term interest rates. Because of the positive relationship between the term structure of interest rates and economic activity, this would lead to an economic expansion. Monika Piazzesi, Stanford University, "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects" Discussant: Heber Farnsworth, Washington University. John Ameriks, Columbia University, and Stephen P. Zeldes, NBER and Columbia University, "How Do Household Portfolio Shares Vary with Age?".

    and estimating a yield curve model that integrates macroeconomic and financial factors. Many other recent papers have also modeled the yield curve, and they can be usefully categorized by the extent and nature of the linkages permitted between financial and macroeconomic variables. Many yield curve models simply ignore macroeconomic linkages. This paper examines the macroeconomic impact of the Asset Purchase Programme (APP) in the euro area on the basis of a set of macro-finance variables included in a Dynamic Nelson–Siegel modelling framework. The empirical results emphasise the role of the APP’s portfolio balance channel in stimulating economic growth and inflation, both at the aggregate euro area level and at the.

      Figure 1 – A US treasury yield curve plot using the curve from , ’85 & ’ A yield curve is a plot of the yield to maturity (YTM) of bonds against maturity (tenors) at a given point in time. To plot the curve all you need are the YTM of bonds of standard maturities. The figure above shows the yield curve history during the ’80s. However, by , it would have become unwise to forecast with this model: when in late a second jump occurs as a result of the MEP, the effect on the yield curve is ambiguous and while level declines and slope steepens at first, these outcomes subside in late (see rightmost plot in the second row), as also shown by the estimated DNS.


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Econometric model of the yield curve with macroeconomic jump effects by Monika Piazzesi Download PDF EPUB FB2

An Econometric Model of the Yield Curve with Macroeconomic Jump Effects Monika Piazzesi. NBER Working Paper No. Issued in April NBER Program(s):Asset Pricing, Monetary Economics. This paper develops an arbitrage-free time-series model of yields in continuous time that incorporates central bank by: Policy-related events, such as FOMC meetings and releases of macroeconomic news the Fed cares about, are modeled as jumps.

The model introduces a class of linear-quadratic jump-diffusions as state variables, which allows for a wide variety of jump types but. macroeconomic jump effect econometric model yield curve target rate fomc meeting key macroeconomic aggregate fomc meeting day tractable way special case release day short maturity fed policy overall term-structure fit target-rate move u.s.

interest rate conditional probability state variable exceptional policy move central bank policy future. Download Citation | An Econometric Model of the Yield Curve with Macroeconomic Jump Effects | Many have questioned the empirical relevance of the Calvo-Yun : Monika Piazzesi.

The National Bureau of Economic Research, Inc. presents an abstract of the article entitled "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," by Monika Piazzesi and published April The article discusses an arbitrage-free time-series model of yields in continuous time that incorporates U.S.

central bank policy. An Econometric Model of the Yield Curve with Macroeconomic Jump Effects. By Monika Piazzesi. Abstract. This paper develops an arbitrage-free time-series model of yields that incorporates central bank policy.

The model introduces a class of linear-quadratic jump diffusions as state variables. A special case of this setup is used to describe U.S Author: Monika Piazzesi. An Econometric Model of the Yield Curve With Macroeconomic Jump Effects We present a simulation-based method for solving realistic portfolio choice problems that potentially involve non-standard preferences and a large number of assets with arbitrary return distribution.

Additional results in the earlier working paper version: “ An Econometric Model of the Yield Curve with Macroeconomic Jump Effects ”, NBER Working paper no theoretical results for deterministic jump times and state-dependent jump size distributions, linear-quadratic jump-diffusion model; empirical results with macro news releases.

Additional results in the earlier working paper version: “An Econometric Model of the Yield Curve with Macroeconomic Jump Effects”, NBER Working paper no theoretical results for deterministic jump times and state-dependent jump size distributions, linear-quadratic jump-diffusion model; empirical results with macro news releases.

Get this from a library. An econometric model of the yield curve with macroeconomic jump effects. [Monika Piazzesi; National Bureau of Economic Research.].

We compare the performance our macro-jump model with that of the autoregressive jump intensity model ofChan and Maheu(). Our anal-ysis shows that the macro-jump model identifies the jumps more accurately. JEL classification: C22, E43, E52, E58 Keywords: jumps, yield curve, monetary policy, macroeconomic announcements, macro-jump model.

An Econometric Model of the Yield Curve with Macroeconomic Jump Effects by Monika Piazzesi, This paper develops an arbitrage-free time-series model of yields in continuous time that incorporates central bank policy.

Hördahl P., O. Tristani and D. Vestin, (), “A joint econometric model of macroeconomic and term structure dynamics”, Journal of Econometrics, See also by the same authors (), "The Yield Curve and Macroeconomic Dynamics," Economic Journal, Royal Economic Society, vol.

interaction between macro economy and the yield curve by incorporating macroeconomic variables into Dynamic Nelson Siegel Model framework. They find strong evidence of macroeconomic effects on the future yield curve and rather weaker evidence that the yield curve affects future macroeconomic.

yield curve models tend to be either theoretically rigorous but empirically disappointing, or empirically successful but theo-retically lacking. In contrast, we emphasize in this book two intimately-related extensions of the classic yield curve model of Nelson and Siegel ().

The rst is a dynamized version. Abstract. In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional heteroscedasticity, jumps, and lagged market factors.

Macroeconomic effect on the yield curve: theoretical motivation. The literature on relationship between yield curve and macro-economic factors has evolved into two different strands. One strand comprises of studies that have documented the information content in the yield curve as the predictor of economic activity.

Improving Forecasts of Inflation using the Term Structure of Interest Rates on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of.

two ways. First, a credible tightening would drive the short end of the yield curve up (both in nominal and real terms) while having little effect on longer rates. The increase in short-term real rates curtails spending and brings about a slowdown in economic activity, thus creating a negative link between a.

The Yield Curve as a Predictor of U.S. Recessions Arturo Estrella and Frederic S. Mishkin The yield curve—specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill—is a valuable forecasting tool. It is simple to use. An Econometric Model of the Yield Curve with Macroeconomic Jump Effects NBER Working Paper No.

w Number of pages: 83 Posted: 20 Apr Last Revised: 21 Oct The Excess Sensitivity of LongTerm Interest Rates: Evidence and Implications for Macroeconomic Models, Federal Reserve Board Finance and Economics Discussion Series, núm.

Hördahl, P., O. Tristaniy y D. Vestin. A Joint Econometric Model of Macroeconomic and Term-Structure Dynamics, Journal of Econometrics, (): “The U.S. Treasury Yield Curve: to the Present.” Finance and Economics Discussion SeriesFederal Reserve Board (). “ A Joint Econometric Model of Macroeconomic and Term Structure Dynamics.” Journal of Econometrics, “ An International Study of Tax Effects on Government Bonds.” Journal of Finance,