Forecasting the yield curve with linear factor models

被引：6

作者：

Matsumura, Marco ^{[1
]}

Moreira, Ajax ^{[1
]}

Vicente, Jose ^{[2
,3
]}

机构：

[1] IPEA, Rio De Janeiro, Brazil

[2] Cent Bank Brazil, Rio De Janeiro, Brazil

[3] Fac Ibmec RJ, Rio De Janeiro, Brazil

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2011年 / 20卷 / 05期

关键词：

Yield curve forecasting; Macroeconomic variables; Affine models;

D O I：

10.1016/j.irfa.2011.05.003

中图分类号：

F8 [财政、金融];

学科分类号：

020219 [财政学（含：税收学）];

摘要：

In this work we compare the interest rate forecasting performance of a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predictive power, but it does not outperform the random walk. We also find that macroeconomic variables and no-arbitrage conditions have little effect to improve the out-of-sample fit, while a financial variable (Stock Index) increases the forecasting accuracy. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：237 / 243

页数：7

共 44 条

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