期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2014
期号：8
页码：08-37
出版社：Instituto de Estudios Bursátiles
摘要：This paper applies a local linear level model to European yields using the state space methodology to structural equation models in order to obtain an unobserved state vector containing the level, slope and seasonal component of the yields. In addition, this has been performed by differentiating money markets from capital markets' yields. Also an affine term structure model has been calibrated using the estimated level, slope and seasonality from the local linear level model. It is shown that both, the local level model as well as the no-arbitrage approach, perform quite well in replicating the yields. The model also shows that there is strong evidence of macroeconomic effects influencing the level, the slope and the seasonal components common to a set of yields (the yield curve). However, this paper shows that there is weak evidence of yields influencing European macroeconomic variables. This could be interpreted as the central bank and markets responding to macroeconomic releases, which is observed in yield movements, but there is weak evidence of yield innovations influencing the macroeconomy.
关键词：European benchmark yields; Local linear model; Affine term structure model ; Financial simulation; State space model; Latent factors.
