Dynamics of Term Structure and Macroeconomy with Market Uncertainty

• 발행기관: 한국자료분석학회
• 저자명: Hyomin Ryoo Sanha Noh
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.27 No.3, 707~723쪽, 전체 17쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2025.06.30

국문 초록

This paper examines the dynamic relationships between term structure factors, macroeconomic variables, and market uncertainty. Using the Nelson-Siegel framework to decompose the yield curve into level, slope, and curvature factors, we identify market uncertainty (measured by VIX) as the missing macroeconomic correspondent for the enigmatic curvature factor. Our analysis employs a two-stage methodology combining the Nelson-Siegel model with vector autoregressive (VAR) modeling using U.S. Treasury yields from 1990 to 2024. We find that market uncertainty exhibits a modest correlation with the curvature factor (-0.32) over the full sample, but this relationship strengthens dramatically to -0.58 during economic recessions and the periods immediately preceding them. Impulse response analysis reveals that uncertainty shocks generate significant movements across all yield factors, with pronounced effects on curvature. These findings demonstrate the close relationship between curvature shock and uncertainty shock. Furthermore, our results show that uncertainty shocks (VIX) lead to short-term economic contractions characterized by disinflation and decreased capacity utilization.

목차

1. Introduction

2. Empirical Methodology

3. DATA

4. Empirical Results

5. Concluding Remarks

Reference

키워드

Term structure Curvature factor Market uncertainty Nelson-Siegel model