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Author
Rubaszek Michał (Warsaw School of Economics, Poland)
Title
Forecasting the yield curve with macroeconomic variables
Source
Econometric Research in Finance, 2016, vol. 1, nr 1, s. 1-21, tab., rys., bibliogr. 16 poz.
Keyword
Krzywa dochodowości, Prognozowanie
Yield curve, Forecasting
Note
JEL clasiffication: C22, E43, G12
summ.
Abstract
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)
Accessibility
The Library of Warsaw School of Economics
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Bibliography
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Cited by
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ISSN
2451-1935
2451-2370
Language
eng
URI / DOI
https://doi.org/10.33119/ERFIN.2016.1.1.1
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