Concepedia

Yield Curve Dynamics

Yield Curve Dynamics is a theoretical framework within financial econometrics that characterizes the evolution of the term structure of interest rates over time, distinguishing itself by modeling the systematic changes in yield curve shape—such as shifts, twists, and curvature movements—driven by monetary policy, market expectations, and risk premia in the context of debt refinancing and money market conditions.

760

Publications

51.8K

Citations

997

Authors

522

Institutions

Publications per year

2017–2026

144

Parents

Publications

760

Monetary policy surprises and interest rates: Evidence from the Fed funds futures market

Kenneth N. Kuttner · Journal of Monetary Economics · 2001 · 2K citations

, , +16

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Andrew Ang, Monika Piazzesi · Journal of Monetary Economics · 2003 · 1.8K citations

, , +17

The Term Structure as a Predictor of Real Economic Activity

Arturo Estrella, Gikas A. Hardouvelis · The Journal of Finance · 1991 · 1.7K citations

, , +15

The U.S. Treasury yield curve: 1961 to the present

Refet S. Gürkaynak, Brian Sack, Jonathan H. Wright · Journal of Monetary Economics · 2007 · 1.3K citations · Full text

, , +8

The macroeconomy and the yield curve: a dynamic latent factor approach

Francis X. Diebold, Glenn D. Rudebusch, S. Borağan Aruoba · Journal of Econometrics · 2005 · 986 citations

, , +14

1–5 of 760

Authors

997

  1. GD
    Glenn D. Rudebusch

    Federal Reserve Bank of San Francisco, United States

    27 publications · 3.9K citations

    21

    h-index

  2. MP
    Monika Piazzesi

    University of Chicago, United States

    14 publications · 4.4K citations

    14

    h-index

  3. FX
    Francis X. Diebold

    University of Pennsylvania, United States

    13 publications · 2.5K citations

    13

    h-index

  4. AA
    Andrew Ang

    BlackRock (United States), United States

    12 publications · 3.6K citations

    12

    h-index

  5. ZU
    Zaghum Umar

    Zayed University, United Arab Emirates

    12 publications · 441 citations

    12

    h-index

1–5 of 997

Institutions

522

  1. National Bureau of Economic Research

    Cambridge, United States

    33 h-index

    98 publications

    11.2K citations

  2. Federal Reserve

    Washington D.C., United States

    23 h-index

    60 publications

    6.2K citations

  3. European Central Bank

    Frankfurt am Main, Germany

    23 h-index

    48 publications

    3.9K citations

  4. Federal Reserve Board of Governors

    Washington D.C., United States

    22 h-index

    43 publications

    4.8K citations

  5. Federal Reserve Bank of San Francisco

    San Francisco, United States

    21 h-index

    48 publications

    5.8K citations

  6. Federal Reserve Bank of New York

    New York, United States

    17 h-index

    20 publications

    5.2K citations

  7. Bank of England

    London, United Kingdom

    17 h-index

    42 publications

    1.7K citations

  8. Centre for Economic Policy Research

    London, United Kingdom

    16 h-index

    23 publications

    1.4K citations

1–8 of 522

Venues

  1. SSRN Electronic Journal

    Repository · 182 publications · 9.5K citations

    53

    h-index

  2. The Journal of Finance

    24 publications · 5.2K citations

    20

    h-index

  3. RePEc: Research Papers in Economics

    Repository · 38 publications · 1.2K citations

    19

    h-index

  4. National Bureau of Economic Research

    Repository · 18 publications · 749 citations

    17

    h-index

  5. Journal of money credit and banking

    16 publications · 1.8K citations

    15

    h-index

1–5