The Experts below are selected from a list of 46326 Experts worldwide ranked by ideXlab platform
Michele Modugno - One of the best experts on this subject based on the ideXlab platform.
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Unspanned Macroeconomic Factors in the yield curve
Journal of Business & Economic Statistics, 2016Co-Authors: Laura Coroneo, Domenico Giannone, Michele ModugnoAbstract:In this article, we extract common Factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two Macroeconomic Factors have an important predictive content for government bond yields and excess returns. These Factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.
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Unspanned Macroeconomic Factors in the Yields Curve
Research Papers in Economics, 2013Co-Authors: Laura Coroneo, Domenico Giannone, Michele ModugnoAbstract:We show that two Macroeconomic Factors have an important predictive content for governmentbond yields and excess returns. These Factors are not spanned by the cross-section of yields andare well proxied by economic growth and real interest rates.
Davidson Heath - One of the best experts on this subject based on the ideXlab platform.
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Macroeconomic Factors in Oil Futures Markets
Management Science, 2019Co-Authors: Davidson HeathAbstract:This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned Macroeconomic Factors. Compared to previ...
Laura Coroneo - One of the best experts on this subject based on the ideXlab platform.
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Unspanned Macroeconomic Factors in the yield curve
Journal of Business & Economic Statistics, 2016Co-Authors: Laura Coroneo, Domenico Giannone, Michele ModugnoAbstract:In this article, we extract common Factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two Macroeconomic Factors have an important predictive content for government bond yields and excess returns. These Factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.
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Unspanned Macroeconomic Factors in the Yields Curve
Research Papers in Economics, 2013Co-Authors: Laura Coroneo, Domenico Giannone, Michele ModugnoAbstract:We show that two Macroeconomic Factors have an important predictive content for governmentbond yields and excess returns. These Factors are not spanned by the cross-section of yields andare well proxied by economic growth and real interest rates.
Oluwatoyese Oluwapemi Oyetade - One of the best experts on this subject based on the ideXlab platform.
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AGRICULTURAL EXPORT AND Macroeconomic Factors IN NIGERIA: THE BOUND TEST APPROACH
International Journal of Energy Economics and Policy, 2020Co-Authors: Oluwatoyese Oluwapemi Oyetade, Abiola John Asaleye, Olabisi Popoola, Adedoyin Isola LawalAbstract:There has been many significant research efforts that have been devoted to understand the effects of Macroeconomic Factors on the agriculture in Nigeria. Thus, Macroeconomic Factors such as exchange rate and crude oil price over the period 1981 to 2016 examined the effects on agricultural export in Nigeria. This paper employed the ARDL bound test analysis since all the Macroeconomic series used in the study are of mixed integrated order of stationarity. A Granger causality was also carried out in order to examine whether there is any predictive power of crude oil price for agricultural export. The findings showed that there exists a significant relationship between the agricultural export which is the dependent variable and the exchange rate but not in the case of the crude oil price. It also revealed that the variables do cause each other in some directions. In conclusion, there is long run relationship between exchange rates and agricultural export in Nigeria.
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Empirical analysis of Macroeconomic Factors and Structural Adjustment Program (SAP) on agricultural output
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2019Co-Authors: Oluwatoyese Oluwapemi Oyetade, Shri Dewi Applanaidu, Oyetade Eunice ModupeAbstract:There has been many significant research efforts that have been devoted to understand the effects of Macroeconomic Factors on the agriculture sector in Nigeria. In addition to the Macroeconomic Factors, Structural Adjustment Programme (SAP) over the period 1981 to 2017 will be included into the scenario of this study to examine the effects of these Factors on agricultural output in Nigeria. This paper employed co-integration analysis and multivariate Granger causality which is carried out using VECM approach to analyse the causal links among all the variables considered for estimation. The findings showed relationship that exists between the agricultural output which is the dependent variable and the independent variables. It also revealed the variations between the dependent and independent variables which are Gross Domestic Product (GDP) growth rate, interest rate, foreign direct investment (FDI), commercial bank loan on agriculture, SAP and inflation rate. In conclusion, commercial loan on agriculture, FDI, interest and inflation rate were Macroeconomic variables that contributed to agricultural output in Nigeria within the period examined.
Domenico Giannone - One of the best experts on this subject based on the ideXlab platform.
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Unspanned Macroeconomic Factors in the yield curve
Journal of Business & Economic Statistics, 2016Co-Authors: Laura Coroneo, Domenico Giannone, Michele ModugnoAbstract:In this article, we extract common Factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two Macroeconomic Factors have an important predictive content for government bond yields and excess returns. These Factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.
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Unspanned Macroeconomic Factors in the Yields Curve
Research Papers in Economics, 2013Co-Authors: Laura Coroneo, Domenico Giannone, Michele ModugnoAbstract:We show that two Macroeconomic Factors have an important predictive content for governmentbond yields and excess returns. These Factors are not spanned by the cross-section of yields andare well proxied by economic growth and real interest rates.
