The predictive power of Nelson–Siegel factor loadings for the real economy

Han, Yang; Jiao, Anqi; Ma, Jun

doi:10.1016/j.jempfin.2021.04.008

Cited by 7 publications

(3 citation statements)

References 48 publications

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“…3 Han et al (2021) and Koeda and Sekine (2022) estimate the decay factor in several countries and suggest that the decay factor has decreased over time. However, we are not aware of any studies on whether a different value should be used for New Zealand.…”

Section: (I) the Estimation Of New Zealand Yield Curvesmentioning

confidence: 99%

Impacts of Monetary Policy Shocks on Inflation and Output in New Zealand*

Kirkby,

2024

Economic Record

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We identify monetary policy shocks in New Zealand as 1‐day changes in the whole yield curve around monetary policy announcements. The impacts of these shocks on inflation and output are estimated using functional local projections. We find that the effects of monetary policy shocks are standard in the short run but might be different in the long run. Monetary policy shocks in a small open economy have similar effects as in a large economy, except that unconventional monetary policy announcements have limited impact on long‐term interest rates. Accounting for forward guidance, used in New Zealand since 1997, is important.

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Section: (I) the Estimation Of New Zealand Yield Curvesmentioning

confidence: 99%

Impacts of Monetary Policy Shocks on Inflation and Output in New Zealand*

Kirkby,

2024

Economic Record

View full text Add to dashboard Cite

show abstract

“…Indeed, for the Brazilian case, the tone of the Brazilian central bank presents a decreasing tendency during recessions, as shown in Figure 4.6, in Appendix 4.6.2. Han, Jiao and Ma (2021) also argues that, before recessions, the role of curvature and slope is smaller, and during recessions, it tends to play a more relevant role. The tone of the Brazilian central bank, which is correlated with the slope and curvature in the data, captures this movement and informs the market.…”

Section: Unobservable Factors and Related Variablesmentioning

confidence: 99%

“…Our approach can be seen as an alternative that uses Central Bank Communication as an agent expectation. Han, Jiao and Ma (2021) relate the shape of the yield curve, associated with a time-varying factor loading, with real macroeconomic variables and argue that this time-varying factor loading contains information about the market perception of the economic risk and uncertainty. In our approach, we use central bank communication to include the perception of economic risk in the model.…”

Section: Introductionmentioning

confidence: 99%