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Economic confidence and the yield curve after the 2008 crisis
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The purpose of this thesis is to examine the bidirectional relationship between the yield curve level, slope and curvature, and the proxies that represent the confidence of consumers, producers, and investors, using the dynamic latent factor approach. The empirical results show that the bidirectional relation between the term structure of interest rates and economic agents’ confidence has shifted with the surge of the 2008 financial crisis. We find evidence that after the financial crisis, expectations have a smaller influence on the yield curve shape and, the latter has a stronger influence over the first.
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Yield Curve Expectations Dynamic Nelson-Siegel State Space Models