韩国央行：2025年无套利限制的收益率曲线和宏观经济变量的大贝叶斯向量自回归报告（英文版）

Interactions between macroeconomic variables and the government bond market are of major interest to policymakers and researchers. This paper proposes a Bayesian large vector autoregression model of the yield curve and macroeconomic variables with the no-arbitrage restriction and develops a novel Bayesian method for its estimation. We demonstrate the efficiency of the proposed Markov chain Monte Carlo algorithm using an empirical application with the U.S. yield curve and 28 macro-financial va