Arbeitspapier

The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR

Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare two different assumptions on how agents may form their expectations about the economy and yields in a pseudo real time exercise. Based on the no-arbitrage factor-augmented vector autoregression model developed by Moench (2008), I apply a purely econometric learning scheme as proposed by Laubach, Tetlow, and Williams (2007) in the estimation and compare the results to those of an estimation without discounting. In- and out-of-sample performance indicates that the agents are more inclined to form their expectations according to the learning approach.

ISBN
978-3-95729-117-2
Sprache
Englisch

Erschienen in
Series: Bundesbank Discussion Paper ; No. 02/2015

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Thema
Affine Term Structure Models
Factor Models
Learning

Ereignis
Geistige Schöpfung
(wer)
Halberstadt, Arne
Ereignis
Veröffentlichung
(wer)
Deutsche Bundesbank
(wo)
Frankfurt a. M.
(wann)
2015

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Halberstadt, Arne
  • Deutsche Bundesbank

Entstanden

  • 2015

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