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Macroeconomic fluctuations and forward yield curve

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dc.description.abstract This paper evaluates how macroeconomics fluctuations (aggregate supply and demand shock) affect dynamics of forward yield curve in domestic and foreign debt market. We build a SVAR that includes output growth, inflation rate and interpretable economic variables extracted from forward yield curve (i.e. long term yield, forward interest rates spread and yield curve volatility) using Venezuelan monthly data from 2004 to 2011. We find that long term yield and spread are dominated by inflationary pressures while bond volatility majority responds to fluctuations in real sector after a goods market shock. The theoretical variables computed are more informative and economic powerful compared to traditional Nelson Siegel factors ( B0,B1 and B2). Finally, there are not qualitative differences across debt markets when aggregate supply or demand innovation occurs. This is not satisfied under a negative financial shock, where international valuation of credit conditions alters foreign investors’ decisions. en
dc.title Macroeconomic fluctuations and forward yield curve en
dc.contributor.author Chirinos Leañez, Ana Maria
dc.contributor.author Pagliacci, Carolina
dc.date.accessioned 2014-10-23T18:47:52Z
dc.date.available 2014-10-23T18:47:52Z
dc.date.issued 2014-10-23
dc.identifier.uri http://hdl.handle.net/123456789/12558
dc.description Working Paper
dc.language.iso en
dc.subject Forward Yield Curve
dc.subject Macroeconomic shocks
dc.subject Interest rates
dc.subject
dc.type Article
lacea.language.supported en


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