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The relationship between the yield curve and macroeconomic factors in Germany
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I apply the dynamic Nelson-Siegel yield curve framework extended by macro-factors to study the bidirectional relation between the yield curve and the macroeconomic factors in Germany. The study reveals a significant link from the monetary policy instrument to the German yield curve. In addition, the yield curve seems to contain information for the industrial production and the monetary policy rate in the next period. Overall, I find strong evidence for a bidirectional relation between the yield curve and the macroeconomy, likewise Lange (2013) for Canada and stronger than Diebold, Rudebusch and Aruoba (2006) for the US.
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Yield curve Dynamic nelson siegel model Factor model policy