Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089913 | Journal of Banking & Finance | 2012 | 19 Pages |
Abstract
⺠We compute yield curve factors: level, slope, curvature, for the US and Germany. ⺠VAR analysis between fiscal behaviour, macro, financial stress, and yield curve. ⺠In the US, fiscal shocks generate responses of the short-end of the yield curve. ⺠In Germany, fiscal shocks have no significant impact on the yield curve.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
António Afonso, Manuel M.F. Martins,