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dc.contributor.authorCross, Jamie L.
dc.contributor.authorPoon, Aubrey
dc.contributor.authorZhu, Dan
dc.date.accessioned2023-10-16T10:01:59Z
dc.date.available2023-10-16T10:01:59Z
dc.date.issued2023-10-13
dc.identifier.issn1892-2198
dc.identifier.urihttps://hdl.handle.net/11250/3096684
dc.description.abstractWe present a new stylized fact about the link between uncertainty and the term structure of interest rates: Unexpectedly heightened uncertainty elicits a lower, steeper, and flatter yield curve. This result is established through a Yields-Macro model that includes dynamic Nelson-Siegel factors of U.S. Treasury yields, and accounts for endogenous feed back with observable measures of uncertainty, monetary policy, and macroeconomic aggregates. It is also robust to three distinct measures of uncertainty pertaining to the financial sector, the macroeconomy and economic policy. An efficient Bayesian algorithm for estimating the class of Yields-Macro models is also developed.en_US
dc.language.isoengen_US
dc.publisherBI Norwegian Business Schoolen_US
dc.relation.ispartofseriesCAMP Working Paper Series;12/2023
dc.subjectYield curveen_US
dc.subjectUncertaintyen_US
dc.subjectMonetary Policyen_US
dc.subjectDynamic Nelson-Siegel modelen_US
dc.subjectBayesian estimationen_US
dc.titleUncertainty and the Term Structure of Interest Ratesen_US
dc.typeWorking paperen_US
dc.source.pagenumber35en_US


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