Dynamics of Term Structure and Macroeconomy with Market Uncertainty
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글쓴이
류호민 2025-10-14
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<한국자료분석학회Journal of The Korean Data Analysis Society> 게재
저자: 류호민, 노산하
▶ 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.
▶ 주제어: Term structure, Curvature factor, Market uncertainty, Nelson-Siegel model.