Browsing Fakultet for teknologi, kunst og design (TKD) by Subject "Term structures"
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The GDP, the US treasury yield and the federal funds rate: Who follows whom, when and why?
(Journal of Financial Economic Policy;, Peer reviewed; Journal article, 2021-06-08)Purpose: This study addresses the fundamental question on how the major players in the economy dynamically interact with each other: among the central bank, the investors in the bond market, and the firms and consumers ... -
The yield curve as a leading indicator: accuracy and timing of a parsimonious forecasting model
(Forecasting;volume 3, issue 2, Peer reviewed; Journal article, 2021-05-28)Previous studies have shown that the treasury yield curve, T, forecasts upcoming recessions when it obtains a negative value. In this paper, we try to improve the yield curve model while keeping its parsimony. First, we ...