[PDF] Top 20 The relationship between the yield curve and macroeconomic factors in Germany
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The relationship between the yield curve and macroeconomic factors in Germany
... on the curvature with a coefficient of -0.14 is on the one hand contractionary to common perceptions about the reaction of middle/long-term yields to an increasing inflation, but on the other ... See full document
25
A SHORT-RUN RELATIONSHIP BETWEEN 1-YEAR BONDS YIELD AND THE DOMESTIC CONSUMPTION IN ROMANIA
... on the field of interest, this paper presents an econometric model for the Romanian ...economy. The model consists in a first order autoregressive vector with two variables – VAR ...(1). ... See full document
9
Economic confidence and the yield curve after the 2008 crisis
... as the yield curve, is the relationship between short- and long-term rates that influence the decisions of economic agents when deciding, for example, to save for ... See full document
26
The Yield Curve and the Macro-economy across Time and Frequencies
... assesses the relation between the yield curve and the main macroeconomic variables in the ...U.S. between early 1960s and 2009 across ... See full document
39
The relationship between debt and a firm's performance: the impact of institutional factors
... firms in the year of 2012 having obtained mixed results. Following the same methodology as Gonzalez (2013), countries were aggregated in three legal origins: first the French civil law ... See full document
58
Analysis of the Brazilian yield curve
... Ang and Piazessi (2003) combine the traditional latent factor model with two macroeconomic components using a Taylor-rule ...that the economic factors explain a considerable part of ... See full document
25
The relationship between property prices and bank lending in China
... loans. The empirical results refer that the supply of credit is largely impacted by the fluctuations of the house ...Arestis and González (2013) they revisit the important ... See full document
60
Essays on forward-looking indicators and the yield curve
... uncertainty in that it involves mainly the standard deviation of analysts ...from the US Treasury emissions, the Brazilian Treasury issues bonds with a specific expiration ...example, ... See full document
102
The Causal Relationship between Health and Education Expenditures in Malaysia
... of the major macroeconomic policies in generating long run economic growth in a nation is to encourage investments on human capital such as health and education (Mushkin, 1962, Barro, ... See full document
14
Fixed-income portfolio optimization based on dynamic Nelson-Siegel models with macroeconomic factors for the Brazilian yield curve
... noteworthy the big drop in cumulative net returns for the one-step-ahead estimates in September, ...At the end of August, 2015, there is a deterioration of the Brazilian ... See full document
113
The Lisbon stock market from 1903 to 1913 : relationship between returns and macroeconomic variables
... account the hypothesis described in the previous chapter and aiming to test the correlation between the different variables, in this chapter an analysis via T-test ... See full document
52
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
... extract the first two principal components from a large data set of macroeconomic and financial variables that include many forward-looking ...as in Diebold et ...forecast the values of ... See full document
36
Principal Component Analysis of the Yield Curve
... outperforming the random walk, none of them prove the consistency of their ...model. In 2007 de Pooter et al. (2007) set up a showdown between the Random walk, the original ... See full document
31
Forecasting the Brazilian yield curve using forward-looking variables
... explain the yield curve. Dielbod and Li (2006) use a vector autoregressive for estimating and forecasting the three factors, with good results at the medium-term ... See full document
27
The Yield Curve as a Predictor of Recessions in the Euro Area A Multicountry Analysis
... empirically the role of each of the components of the spread in predicting future recessions in four Eurozone countries (Germany, Italy, Spain and ...Netherlands). ... See full document
27
The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables
... to the DL (2002) model, because it allows the estimation of all parameters simultaneously via the Kalman Filter, delivering “maximum-likelihood estimates and optimal filtered and ... See full document
28
A wavelet approach to the dynamic relation between the Portuguese Yield Curve and Macroeconomic Growth
... The goal of this work project is to discuss and analyze the relation between the components of the Portuguese yield curve and the economy’s level of ... See full document
26
Fitting the yield curve
... from the OLS regression, are presented in Table 3. The mean alphas are very similar for both countries, having ...0.0025 and -0.0356, respectively, for alpha 1, alpha 2 and alpha 3 for ... See full document
30
Climate-induced changes in grapevine yield and must sugar content in Franconia (Germany) between 1805 and 2010.
... (yield and must sugar content) to year and climate ...only the latter are considered ...select the most significant climate predictors of yield and must sugar ...to ... See full document
10
The relationship between neuroticism and job satisfaction
... approaches in the definition and measurement of job satisfaction. The first one is holis- tic approach according to which job satisfaction is an unidimensional ...work and a central ... See full document
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