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The Indonesian macroeconomy and the yield curve: A dynamic latent factor approach

✍ Scribed by Djuranovik, Leslie

Book ID: 125801830
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 565 KB
Volume: 34
Category: Article
ISSN: 1049-0078
DOI: 10.1016/j.asieco.2014.06.001

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## ABSTRACT This paper compares various ways of extracting macroeconomic information from a data‐rich environment for forecasting the yield curve using the Nelson–Siegel model. Five issues in extracting factors from a large panel of macro variables are addressed; namely, selection of a subset of th