Term structure surprises: the predictive content of curvature, level, and slope
在宏观和利率数据的动态因子模型中，分析了收益率曲线的水平、斜率和曲率成分的预测能力，发现曲率的意外上升预示着收益率曲线平坦化和一年后产出显著下降。
SUMMARY This paper analyzes the predictive content of the term structure components level, slope, and curvature within a dynamic factor model of macroeconomic and interest rate data. Surprise changes of the three components are identified using sign restrictions, and their macroeconomic underpinnings are studied via impulse response analysis. The curvature factor is found to carry predictive information both about the future evolution of the yield curve and the macroeconomy. In particular, unexpected increases of the curvature factor precede a flattening of the yield curve and announce a significant decline of output more than 1 year ahead. Copyright © 2010 John Wiley & Sons, Ltd.