Macroeconomic releases and the interest rate term structure

• 成果类型: Article
• 署名作者: Lu, Biao; Wu, Liuren
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.06.005
• 发表日期: 2009
• 页码: 872-884
• 关键词: Macroeconomic releases; Interest rate term structure; optimal monetary policy; Dynamic factors; Market prices of economic risks; inflation; Real output growth; Kalman filter

摘要

We extract two systematic economic factors from a wide array of noisy and sparsely observed macroeconomic releases, and link the dynamics and market prices of the two factors to the interest rate term structure. The two factors predict 77.9-82.1% of the daily variation in LIBOR and swap rates from one month to 10 years. Shocks on inflation-related releases have large, positive impacts on interest rates of all maturities, leading to parallel shifts of the yield curve, but shocks on output-related releases have larger impacts on the short rate than on the long rate, thus generating a slope effect. (C) 2009 Elsevier B.V. All rights reserved.