Year of Graduation
Assessing the Impact of Macroeconomic Indicators on the Yield Curve
Economics: Research Programme
This paper presents a study of the dynamics of the yield curve for Switzerland. The study examined the impact of macroeconomic indicators on the yield curve, as well as evaluate the impact of movements in interest rates on government bonds of Eurozone on the dynamics of the Switzerland curve. The study was conducted by estimating state-space models based on the methodology presented in the Diebold and Li (2006b). The study found that the macro-economic indicators have an impact on the dynamics of the yield curve, and there are also the effects of the impact of the Eurozone indicators on the shape of the yield curve in Switzerland.