Download or read book The Macroeconomy and the Yield Curve written by Francis X. Diebold and published by . This book was released on 2004 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity, inflation, and the monetary policy instrument). Our goal is to provide a characterization of the dynamic interactions between the macroeconomy and the yield curve. We find strong evidence of the effects of macro variables on future movements in the yield curve and evidence for a reverse influence as well. We also relate our results to the expectations hypothesis.