Results 1 - 1 of 1 for yield curve has inverted signaling [Author: Don H. Kim]
Challenges in Macro-Finance Modeling - Review
This article discusses various challenges in the specification and implementation of "macro-finance" models in which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. The author classifies macro-finance models into pure latent-factor models ("internal basis models") and models that have observed macroeconomic variables as state variables ("external basis models") and examines the underlying assumptions behind these models.
research.stlouisfed.org/publications/review/2009/10/21/challenges-in-macro-finance-modeling
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