  Viewing a yield curve as a sparse collection of measurements on a latent
continuous random function allows us to model it statistically as a sparsely
observed functional time series. Doing so, we use the state-of-the-art methods
in non-parametric statistical inference for sparsely observed functional time
series to analyse the lagged regression dependence of the US Treasury yield
curve on US macroeconomic variables. Our non-parametric analysis confirms
previous findings established under parametric assumptions, namely a strong
impact of the federal funds rate on the short end of the yield curve and a
moderate effect of the annual inflation on the longer end of the yield curve.
