Corpus ID: 220363910

Yield curve and macroeconomy interaction: evidence from the non-parametric functional lagged regression approach

@article{Rubn2020YieldCA,
  title={Yield curve and macroeconomy interaction: evidence from the non-parametric functional lagged regression approach},
  author={Tom{\'a}{\vs} Rub{\'i}n},
  journal={arXiv: Applications},
  year={2020}
}
Viewing a yield curve as a sparse collection of measurements on a latent continuous random function allows us to model it statistically as a sparsely observed functional time series. Doing so, we use the state-of-the-art methods in non-parametric statistical inference for sparsely observed functional time series to analyse the lagged regression dependence of the US Treasury yield curve on US macroeconomic variables. Our non-parametric analysis confirms previous findings established under… Expand

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