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.
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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