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A yield curve model with macroeconomic and financial variables
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This thesis has the goal to fit the Portuguese yield curve constructing a model with not only latent factors, but also macroeconomic factors, such as inflation, marginal lending rate and industrial production.
The model will incorporate the Nelson and Siegel (1987) decomposition and it will be made using a state-space framework, where the estimation results gave me a good fitting of the yield curve. Afterwards, I analyze the correlation between the yield curve components and the macroeconomic variables by impulse response functions and variance decompositions, where I find a causality relationship between macro variables and the latent factors.
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Yield curve Portugal Macroeconomy State-space model