Document details

A yield curve model with macroeconomic and financial variables

Author(s): Casinha, Rodrigo

Date: 2017

Persistent ID: http://hdl.handle.net/10362/22283

Origin: Repositório Institucional da UNL

Subject(s): Yield curve; Portugal; Macroeconomy; State-space model; Domínio/Área Científica::Ciências Sociais::Economia e Gestão; Domínio/Área Científica::Ciências Sociais::Economia e Gestão; Domínio/Área Científica::Ciências Sociais::Economia e Gestão


Description

This thesis has the goal to fit the Portuguese yield curve constructing a model with not only latent factors, but also macroeconomic factors, such as inflation, marginal lending rate and industrial production. The model will incorporate the Nelson and Siegel (1987) decomposition and it will be made using a state-space framework, where the estimation results gave me a good fitting of the yield curve. Afterwards, I analyze the correlation between the yield curve components and the macroeconomic variables by impulse response functions and variance decompositions, where I find a causality relationship between macro variables and the latent factors.

Document Type Master thesis
Language English
Advisor(s) Silva, André Castro
Contributor(s) Casinha, Rodrigo
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