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Essays on yield curve models with Markov switching and macroeconomic fundamentals.

机译：关于具有马尔可夫切换和宏观经济基本面的收益率曲线模型的论文。

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摘要

This dissertation explores the interaction of the term structure of interest rates and the macroeconomy for the United States and United Kingdom. In particular, using a dynamic factor yield curve model, the three essays of this dissertation investigate the macroeconomic sources of parameter instability in the US and UK term structure. First, this dissertation explores if parameter instability in the term structures is reflected in structural breaks in latent yield curve factors - level, slope, and curvature. I test for a single and for multiple structural breaks. The results indicate that parameter instability in the US term structure is adequately captured by the structural breaks in the level and slope factors. Similarly, there is evidence that structural breaks in the level and curvature factors characterize parameter instability in the UK term structure.;Next, I assume the dynamics of the US term structure follow a two-state Markov process. This allows interest rate dynamics to switch between the two states as frequently as the data dictates. A switching model is proposed which gives macroeconomic insight into an asymmetric monetary policy effect during expansions and recessions. A second proposed switching model provides evidence of a great moderation in the US term structure where there is a dramatic decrease in the volatility of yields.;Lastly, I investigate the interaction of the UK term structure and macroeconomy. In order to establish a definitive one-to-one correspondence between macroeconomic fundamentals and latent yield curve factors, I estimate a dynamic yield curve model augmented with macroeconomic variables. Through impulse response analysis, I find that during the inflation-targeting period for the UK, the curvature factor is directly related to real economic activity. I then use this established interaction between the term structure and macroeconomy to gain macroeconomic insight into regime changes in the UK term structure. Using Markov-switching dynamic yield curve models, I estimate the term structure and find that periods of low volatility correspond to regimes where real economic activity and monetary policy have a greater effect on the bond market. Periods of high volatility are driven by inflation expectations having a greater influence on bond pricing.
机译：本文探讨了利率期限结构与美国和英国宏观经济之间的相互作用。特别是，使用动态因子收益率曲线模型，本文的三篇论文研究了美国和英国期限结构中参数不稳定的宏观经济来源。首先，本文探讨了术语结构中参数的不稳定性是否反映在潜在屈服曲线因子（水平，斜率和曲率）的结构破坏中。我测试一个或多个结构性中断。结果表明，美国期限结构中的参数不稳定性可以通过水平和斜率因子的结构破坏来充分捕获。同样，有证据表明，水平和曲率因子的结构性断裂是英国期限结构中参数不稳定的特征。接下来，我假设美国期限结构的动力学遵循两种状态的马尔可夫过程。这使得利率动态可以根据数据指示在两个状态之间频繁切换。提出了一种转换模型，该模型可以使宏观经济洞悉扩张和衰退期间的不对称货币政策效应。提出的第二个转换模型提供了美国期限结构大幅减缓的证据，​​其中收益率的波动性显着下降。最后，我研究了英国期限结构与宏观经济的相互作用。为了在宏观经济基本面和潜在收益率曲线因素之间建立明确的一对一对应关系，我估计了一个动态的收益率曲线模型，其中增加了宏观经济变量。通过脉冲响应分析，我发现在英国的通货膨胀目标时​​期，曲率因子与实际经济活动直接相关。然后，我将使用期限结构和宏观经济之间的这种已建立的相互作用来获得对英国期限结构中政权变化的宏观经济学见解。使用马尔可夫切换动态收益率曲线模型，我估算了期限结构，发现低波动时期对应于实际经济活动和货币政策对债券市场影响更大的制度。高波动时期受通货膨胀预期的影响，对债券定价产生更大的影响。

著录项

  • 作者

    Levant, Jared Marcus Solomon.;

  • 作者单位

    The University of Alabama.;

  • 授予单位 The University of Alabama.;
  • 学科 Economics.
  • 学位 Ph.D.
  • 年度 2014
  • 页码 139 p.
  • 总页数 139
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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