Yield curve dynamics and the performance of Iberian economies

dc.contributor.authorPinho, Carlos
dc.contributor.authorMaldonado, Isabel
dc.date.accessioned2022-05-05T15:13:51Z
dc.date.available2022-05-05T15:13:51Z
dc.date.issued2020-11-26
dc.description.abstractThe aim of this paper is to analyze the bidirectional relation between the term structure of interest rates components and macroeconomic factors. Using a factor augmented vector autoregressive model, impulse response functions and forecasting error variance decompositions we find evidence of a bidirectional relation between yield curve factors and the macroeconomic factors, with increased relevance of yield factors over it with increased forecasting horizons. The study was conducted for two Iberian countries using information of public debt interest rates of Spain and Portugal and macroeconomic factors extracted from a set of macroeconomic variables, including indicators of activity, prices and confidence. Results show that the inclusion of confidence and macroeconomic factors in the analysis of the relationship between macroeconomics and interest rate structure is extremely relevant. The results obtained allow us to conclude that there is a strong impact of changes in macroeconomic factors on the term structure of interest rates, as well as a significant impact factor of the term structure, in the future evolution of macroeconomic factors.pt_PT
dc.identifier.citationMaldonado, I., & Pinho (2020). Yield curve dynamics and the performance of Iberian economies. Global Journal of Business, Economics and Management, 10(3), 193-203. https://doi.org/10.18844/gjbem.v10i3.4691. Repositório Institucional UPT. http://hdl.handle.net/11328/4072pt_PT
dc.identifier.doihttps://doi.org/10.18844/gjbem.v10i3.4691pt_PT
dc.identifier.issn2301-2579
dc.identifier.urihttp://hdl.handle.net/11328/4072
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherBirlesik Dunya Yenilik Arastirma ve Yayincilik Merkezipt_PT
dc.rightsrestricted accesspt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectConfidencept_PT
dc.subjectFactor modelspt_PT
dc.subjectMacroeconomic factorspt_PT
dc.subjectTerm structure of interest ratespt_PT
dc.titleYield curve dynamics and the performance of Iberian economiespt_PT
dc.typejournal articlept_PT
degois.publication.firstPage193pt_PT
degois.publication.issue3pt_PT
degois.publication.lastPage203pt_PT
degois.publication.titleGlobal Journal of Business, Economics and Managementpt_PT
degois.publication.volume10pt_PT
dspace.entity.typePublicationen
person.affiliation.nameREMIT – Research on Economics, Management and Information Technologies
person.familyNameMaldonado
person.givenNameIsabel
person.identifier.ciencia-id1D1D-3612-D593
person.identifier.orcid0000-0002-1292-6201
relation.isAuthorOfPublication1d5bf75b-f0ec-4431-aa1e-cfb8be344155
relation.isAuthorOfPublication.latestForDiscovery1d5bf75b-f0ec-4431-aa1e-cfb8be344155

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