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Rubaszek Michał (Warsaw School of Economics, Poland)
Forecasting the yield curve with macroeconomic variables
Econometric Research in Finance, 2016, vol. 1, nr 1, s. 1-21, tab., rys., bibliogr. 16 poz.
Krzywa dochodowości, Prognozowanie
Yield curve, Forecasting
JEL clasiffication: C22, E43, G12
This paper compares the accuracy of interest rates forecasts from dynamic, affine yield curve models, also those that take into account the correlation of latent factors and macroeconomic variables. The empirical results suggest that affine models are better at explaining future movements in interest rates than the benchmark, arbitrage-free model. Moreover, we show that interest rates forecasts that are conditional on the realization of inflation and the unemployment rate are more accurate than unconditional forecasts.(original abstract)
The Library of Warsaw School of Economics
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