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A wavelet approach to the dynamic relation between the Portuguese Yield Curve and Macroeconomic Growth
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Orientador(es)
Resumo(s)
The goal of this work project is to discuss and analyze the relation between the components of the Portuguese yield curve and the economy’s level of activity for the period between 1996 and 2018. Based on traditional parametric methods, the macro-finance mode developed includes a dynamic latent factor model containing the conventional latent factors level, slope and curvature. The behavior of these variables is simultaneously analyzed in the time and frequency domains, using for that purpose wavelet transforms and wavelet tools. By applying the wavelet transformation to all time series data under analysis it possible to study the dynamic relationship among them in terms of direction, intensity, synchronization and periodicity
Descrição
Palavras-chave
Macro-finance Yield curve Latent factors Kalman filter Wavelet analysis Phase differentiation.