Finance and Economics Discussion Series: A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy by Marcelle Chauvet, Zeynep Senyuz

Finance and Economics Discussion Series: A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy

Marcelle Chauvet, Zeynep Senyuz

48 pages missing pub info (editions)

nonfiction politics
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In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as t...

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