THE MACROECONOMY and THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET

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dc.contributor.authorKaya, Hüseyin
dc.date.accessioned2025-05-10T11:28:59Z
dc.date.issued2017
dc.departmentİstanbul Medeniyet Üniversitesi
dc.description.abstractThis paper provides cross-country empirical evidence on the dynamic interactions between macroeconomy and the yield curve by utilizing two-step estimation approach. In the first step three latent yield factors are estimated using Dynamic Nelson Siegel Model and in the second step dynamic relationship between these factors and macro factors are investigated by employing a Panel VAR model. The results suggest that there is a bidirectional link between macro variables and the yield curve. 
dc.description.abstractThis paper provides cross-country empirical evidence on the dynamic interactions between macroeconomy and the yield curve by utilizing two-step estimation approach. In the first step three latent yield factors are estimated using Dynamic Nelson Siegel Model and in the second step dynamic relationship between these factors and macro factors are investigated by employing a Panel VAR model. The results suggest that there is a bidirectional link between macro variables and the yield curve. 
dc.identifier.doi10.18825/iremjournal.329009
dc.identifier.issn2148-3493
dc.identifier.issue3
dc.identifier.startpage42005
dc.identifier.urihttps://doi.org/10.18825/iremjournal.329009
dc.identifier.urihttps://dergipark.org.tr/tr/pub/iremjournal/issue/31501/329009
dc.identifier.urihttps://hdl.handle.net/20.500.14730/2160
dc.identifier.volume5
dc.institutionauthorKaya, Hüseyin
dc.language.isoen
dc.publisherGökhan ÖZER
dc.relation.ispartofInternational Review of Economics and Management
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_DergiPark_20250302
dc.subjectyield curve
dc.subjectmacroeconomic variables
dc.subjectinterest rates
dc.subjectverim eğrisi
dc.subjectpanel veri
dc.subjectmakroekonomik veriler
dc.titleTHE MACROECONOMY and THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET
dc.titleTHE MACROECONOMY AND THE YIELD CURVE: EVIDENCE FROM AN INTERNATIONAL PANEL DATASET
dc.typeArticle

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