A semiparametric factor model of interest rates and tests of the affine term structure

Article Abstract:

A semiparametric procedure for modeling interest rates and tests of the affine term structure was described. The restrictions imposed by the affine term structure model were tested without a priori parametric functional form restrictions. An alternative set of variables based on macroeconomic conditions in the economy was considered in addition to interest rates. Results showed that the affine term structure model does not provide strong empirical evidence to support the restrictions implied by the model and that there are other fundamental factors to explain interest rate dynamics.

Econometrics & Model Building, Econometrics, Interest rates, Business models, Parameter estimation

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Evidence on macroeconomic complementarities

Article Abstract:

Macroeconomic complementarities, limitations to the concept of interaction among economic agents, are proven using an empirical model that establishes a relationship between models with complementarities to macroeconomic data. Results indicate a positive correlation in economic activities among agents. However, the existence of noncomplementarity models that are consistent with the same set of macroeconomic data indicates a weakness in the model.

Analysis, Economic research

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Poverty and change in the macroeconomy: a synamic macroeconometric model

Article Abstract:

An analysis describing the effect of macroeconomic activity on poverty levels in the US economy is presented. The analysis applies a macroeconometric model which assumes that poverty levels in the US is conditioned by variations in economic indicators of macroeconomic performance and policy. It is shown that a reduced form model which evaluates dynamic interactions among the economic variables can be developed.

Economic aspects, Poverty

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