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Autor
Rubaszek Michał (Warsaw School of Economics, Poland)
Tytuł
Forecasting the yield curve with macroeconomic variables
Źródło
Econometric Research in Finance, 2016, vol. 1, nr 1, s. 1-21, tab., rys., bibliogr. 16 poz.
Słowa kluczowe
Krzywa dochodowości, Prognozowanie
Yield curve, Forecasting
Uwagi
JEL clasiffication: C22, E43, G12
summ.
Abstrakt
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)
Dostępne w
Biblioteka Szkoły Głównej Handlowej
Pełny tekst
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Bibliografia
Pokaż
  1. Aguiar-Conraria, L., Manuel M., Soares M.J.. 2012. The yield curve and the macro-economy across time and frequencies. "Journal of Economic Dynamics and Control" 36 (12):1950-1970
  2. Ang, A. and Piazzesi M.,. 2003. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. "Journal of Monetary Economics "50 (4):745-787
  3. Ang, A., Piazzesi M., Min Wei. 2006. What does the yield curve tell us about GDP growth? "Journal of Econometrics "131 (1-2):359-403
  4. Brzoza-Brzezina, M.and Kotlowski J.. 2014. Measuring the natural yield curve. "Applied Economics" 46 (17):2052-2065
  5. Christensen, J.H. E. , Rudebusch G.D.. 2015. Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. " Journal of Financial Econometrics "13 (2):226-259
  6. Diebold, F.X, Li C.. 2006. Forecasting the term structure of government bond yields." Journal of Econometrics" 130 (2):337-364
  7. Diebold, F.X., Mariano R.S.. 1995. Comparing predictive accuracy. "Journal of Business & Economic Statistics" 13 (3):253-63
  8. Diebold, F.X., Piazzesi M., Rudebusch G.D.. 2005. Modeling Bond Yields in Finance and Macroeconomics." American Economic Review "95 (2):415-420
  9. Diebold, F.X., Rudebusch G.D., Aruoba B.S., 2006. The macroeconomy and the yield curve: a dynamic latent factor approach. "Journal of Econometrics" Journal of Economic Literature" 50 (2):331-67
  10. Gurkaynak, R. S., Wright J.H., 2012. Macroeconomics and the Term Structure. Journal of Economic Literature 50 (2):331-67
  11. Litterman, R. B. 1986. Forecasting with Bayesian Vector Autoregressions - Five Years of Experience."Journal of Business & Economic Statistics "4 (1):25-38
  12. Nelson, C. R., Andrew F. Siegel. 1987. Parsimonious Modeling of Yield Curves. "The Journal of Business" 60 (4):473-89
  13. Piazzesi, M.. 2010. Afine Term Structure Models," Handbooks in Finance", vol. 1, chap. 12. North-Holland, 691 - 766.
  14. Robertson, J.C., Ellis W. Tallman. 1999. Vector autoregressions: Forecasting and reality. "Economic Review" (Q1):4-18.
  15. Rubaszek, M.2012. Modelowanie Polskiej Gospodarki z Pakietem R. Warszawa: Oficyna Wydawnicza SGH.
  16. Summers, L. H. 2014. U.S. Economic Prospects: Secular Stagnation, Hysteresis, and the Zero Lower Bound. "Business Economics "49 (2):65-73.
Cytowane przez
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ISSN
2451-1935
2451-2370
Język
eng
URI / DOI
https://doi.org/10.33119/ERFIN.2016.1.1.1
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