论文标题
产量曲线和宏观经济相互作用：非参数功能滞后回归方法的证据
Yield curve and macroeconomy interaction: evidence from the non-parametric functional lagged regression approach
论文作者
论文摘要
将收益曲线视为潜在连续随机函数上稀疏测量集合的收集，使我们能够将其统计地建模为稀疏观察到的功能时间序列。这样做，我们在稀疏观察到的功能时间序列的非参数统计推断中使用最先进的方法来分析美国国库产量曲线对美国宏观经济变量的滞后回归依赖性。我们的非参数分析证实了以参数假设为基础建立的先前发现，即联邦资金利率对收益曲线的短端产生了强烈的影响，并且年度通货膨胀对较长的收益率曲线的中等影响。
Viewing a yield curve as a sparse collection of measurements on a latent continuous random function allows us to model it statistically as a sparsely observed functional time series. Doing so, we use the state-of-the-art methods in non-parametric statistical inference for sparsely observed functional time series to analyse the lagged regression dependence of the US Treasury yield curve on US macroeconomic variables. Our non-parametric analysis confirms previous findings established under parametric assumptions, namely a strong impact of the federal funds rate on the short end of the yield curve and a moderate effect of the annual inflation on the longer end of the yield curve.
