Download or read book The Forecasting Power of the Yield Curve a Supervised Factor Model Approach written by Lorenzo Boldrini and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Download or read book The forecasting power of internal yield curve linkages written by Michele Modugno and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Forecasting Power of International Yield Curve Linkages written by Michele Modugno and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Comparing Models for Forecasting the Yield Curve written by Marco Shinobu Matsumura and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages and disadvantages, and it is an empirical matter to evaluate the performance of the approaches. This exercise compares 4 alternative models for the term structure using 3 different markets: the Brazilian domestic and sovereign market and the US market.
Download or read book Predicting Output Using the Entire Yield Curve written by Azamat Abdymomunov and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many studies find that yields for government bonds predict real economic activity. Most of these studies use the yield spread, defined as the difference between two yields of specific maturities, to predict output. In this paper, I propose a different approach that makes use of information contained in the entire term structure of U.S. Treasury yields to predict U.S. real GDP growth. My proposed dynamic yield curve model produces better out-of-sample forecasts of real GDP than those produced by the traditional yield spread model. The main source of this improvement is in the dynamic approach to constructing forecasts versus the direct forecasting approach used in the traditional yield spread model. Although the predictive power of the yield curve for output is concentrated in the yield spread, there is also a gain from using information in the curvature factor for the real GDP growth prediction.
Download or read book Forecasting the U S Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model written by Siem Jan Koopman and published by . This book was released on 2014 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model. We include these factors into a dynamic factor model for the yield curve, in which we model the salient structure of the yield curve by imposing smoothness restrictions on the yield factor loadings via cubic spline functions. We carry out a likelihood-based analysis in which we jointly consider a factor model for the yield curve, a factor model for the macroeconomic series, and their dynamic interactions with the latent dynamic factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we use a monthly time series panel of unsmoothed Fama-Bliss zero yields for treasuries of different maturities between 1970 and 2009, which we combine with a macro panel of 110 series over the same sample period. We show that the relation between the macroeconomic factors and yield curve data has an intuitive interpretation, and that there is interdependence between the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion is that macroeconomic variables can lead to more accurate yield curve forecasts.
Download or read book Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data written by Norman R. Swanson and published by MDPI. This book was released on 2021-08-31 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Download or read book The Predictive Power of the Yield Curve in the Low Interest Rate Environment written by Nanshan Xu and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines the use of the yield curve as a forecasting tool for future real GDP growth in the United States. I identify a structural break in the term spread that is consistent with past literature findings. I examine the stability of the predictive power using multiple autoregressive models with three subsamples. My results indicate a strong predictive relationship between the term spread and real economic activity before 1982 third quarter, but that no statistically significant evidence has been found after 1982 third quarter. Using a disaggregate approach, I suggest that the yield curve still holds consistently strong predictive power in future nondurable goods consumption and non-residential investment growth. My analysis indicates how the yield curve may reflect the transmission channel: how monetary policy can impact consumption and investment, and hence real GDP.
Download or read book Predicting the Yield Curve Using Forecast Combinations written by João Caldeira and published by . This book was released on 2013 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the statistical accuracy and economic value of modelling and forecasting the term structure of interest rates using forecast combinations. We adopt five alternative methods to combine point forecasts from several univariate and multivariate autoregressive specifications, as well as from factor models for the yield curve such as the dynamic versions of the Nelson-Siegel and Svensson specifications. Moreover, we conduct a detailed performance evaluation based not only on statistical measures of forecast accuracy, but also an economic criteria like Sharpe ratios of optimal mean-variance fixed income portfolios constructed based upon forecasts from individual models and their alternative combinations. Our empirical application based on a large panel of Brazilian interest rate future contracts with different maturities shows that combined forecasts consistently outperform individual models in several instances, specially when economic criteria are taken into account.
Download or read book Forecasting the Yield Curve in a Data rich Environment Using the Factor augmented Nelson Siegel Model written by and published by . This book was released on 2010 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting the Yield Curve written by Christian Scheitlin and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of this thesis is to forecast the US Treasury yield curve. In order to do so, the yield curve will first be modeled by the Nelson-Siegel (1987) method with the Diebold and Li (2006) extension and then forecasted. The data used is provided by Gürkaynak, Sack, and Wright (2006). The large dataset consists of fitted yields of US Treasury bonds. The conclusion of this thesis is that there is evidence that the Diebold and Li (2006) method can be applied to the dataset used. The forecasting results show mostly the correct change in direction of the yield curve but lack accuracy. The forecasting ability is quite well considering that the model does not include any macro-economic factors which are proven to influence the yield curve largely according to the results by Diebold, Piazzesi, and Rudebusch (2005).
Download or read book Modeling and Forecasting the Yield Curve by an Extended Nelson Siegel Class of Models written by Rafael Barros de Rezende and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the in sample fitting and the out of sample forecasting performances of four distinct Nelson-Siegel class models: Nelson-Siegel, Bliss, Svensson, and a five factor model we propose in order to enhance the fitting flexibility. The introduction of the fifth factor resulted in superior adjustment to the data. For the forecasting exercise the paper contrasts the performances of the term structure models in association to the following econometric methods: quantile autoregression evaluated at the median, VAR, AR, and a random walk. As a pattern, the quantile procedure delivered the best results for longer forecasting horizons.
Download or read book Forecasting the Yield Curve in a Data rich Environment written by Emanuel Mönch and published by . This book was released on 2005 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Negative Yield Curve Distributions written by Jae-Yun Jun and published by . This book was released on 2017 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Negative interest rates are present in various marketplaces since mid-2014, following the negative interest rate policy (NIRP) adopted by the European Central Bank in order to lift the economic growth (and, therefore, the inflation). However, this policy involves difficulties for market practitioners as there is no model that enables to forecast negative interest rates in a coherent and sounding theoretical manner. Facing this lack of reliable models, the well-known Historical Approach (HA) appears to be a good resource. By tweaking the HA, we derive a data-driven and very tractable tool that allows practitioners to generate yield-curve distribution at future discrete time horizons. So, we provide a robust and easy-to-understand forecasting model, suitable for the NIRP context, allowing to appreciate its prediction power. Besides the methodology development that we present in this work, various numerical illustrations are reported in order to shed light on the benefit (and the limit) of our forecasting approach.
Download or read book A Three Factor Yield Curve Model written by Francis X. Diebold and published by . This book was released on 2006 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess and apply the term-structure model introduced by Nelson and Siegel (1987) and re-interpreted by Diebold and Li (2003) as a modern three-factor model of level, slope and curvature. First, we ask whether the model is a member of the affine class, and we find that it is not. Hence the poor forecasting performance recently documented for affine term structure models in no way implies that our model will forecast poorly, which is consistent with Diebold and Li's (2003) finding that it indeed forecasts quite well. Next, having clarified the relationship between our three-factor model and the affine class, we proceed to assess its adequacy directly, by testing whether its level, slope and curvature factors do indeed capture systematic risk. We find that they do, and that they are therefore priced. Finally, confident in the ability of our three-factor model to capture the pricing relations present in the data, we proceed to explore its efficacy in bond portfolio risk management. Traditional Macaulay duration is appropriate only in a one-factor (level) context; hence we move to a three-factor generalized duration, and we show the superior performance of hedges constructed using it.
Download or read book Yield Curve Modeling and Forecasting Using Semiparametric Factor Dynamics written by Wolfgang Karl Härdle and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
