Empirical essays in macroeconomics and finance

HG Finance;HA Statistics;HB Economic Theory

Modena, Matteo ; MacDonald, Ronald

University:University of Glasgow

Department:Adam Smith Business School

关键词: Yield Curve, Term Premia, Business Cycle, Non Linear Econometrics;   

Others  :  http://theses.gla.ac.uk/1689/1/2010modenaphd.pdf

来源: University of Glasgow

【 摘 要 】

This work provides an empirical examination of the relationship between macroeconomics and finance. In particular, we exploit non linear econometric methods to analyse the information content of the term structure of interest rates. We find that both monetary and financial variables are useful to predict the future evolution of economic activity.