We estimate a dynamic model for yield curve incorporating latent and macro factors to
describe the joint dynamics of term structure of interest rate and macroeconomic variables in …

This paper applies a local linear level model to European yields using the state space
methodology to structural equation models in order to obtain an unobserved state vector …

This paper estimates a dynamic model for the yield curve incorporating latent and macro
factors to represent the term structure of the real interest rates. The representation of the …

This article estimates a dynamic model for the yield curve incorporating latent and macro
factors to represent the term structure of the real interest rates. The representation of the …

This paper analyzes the implications of the standard monetary policy rules, embedded in a
New-Keynesian structural macro-model, for the term structure of interest rates. We extend …

This paper presents an essentially affine model of the term structure of interest rates making
use of macroeconomic factors and their long-run expectations. The model extends the …

This paper models the evolution of monetary policy, the term structure of interest rates and
the UK economy across policy regimes. We model the interaction between the …

This paper aims to contribute to our understanding of the dynamics driving the Greek term
structure of nominal interest rates and to explore their possible macroeconomic …

The conduct of monetary policy, the term structure of interest rates and the structure of the
economy in the UK have changed over the post-WWII period. We model the interaction …

We present and estimate a continuous time term structure model that incorporates
observable macroeconomic variables and latent variables with a clear macroeconomic …