Economic Determinants of the Nominal Treasury Yield Curve

@inproceedings{Evans2001EconomicDO,
  title={Economic Determinants of the Nominal Treasury Yield Curve},
  author={Charles L. Evans},
  year={2001}
}
We study the effect of different types of macroeconomic impulses on the nominal yield curve. We employ two distinct approaches to identifying economic shocks in VARs. Our first approach uses a structural VAR due to Galí (1992). Our second strategy identifies fundamental impulses from alternative empirical measures of economic shocks proposed in the literature. We find that most of the long-run variability of interest rates of all maturities is driven by macroeconomic impulses. Shocks to… CONTINUE READING
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