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Title
An affine macro-factor model of the UK yield curve.
Abstract
The article discusses the analysis concerning structure of interest rates for the Great Britain and the macroeconomic interpretation of the underlying factors that drive movements in the term structure. Primarily, the long end of the yield curve was driven by changes in the unobserved inflation target. At shorter maturities, yield curve movements reflect mainly the annual inflation, and output gap and monetary policy shocks.