Arbeitspapier
Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory factors. Precisely, an affine term structure model with parameter restrictions implied by no-arbitrage is added to a Factor-Augmented Vector Autoregression (FAVAR). The model is found to strongly outperform different benchmark models in out-of-sample yield forecasts, reducing root mean squared forecast errors relative to the random walk up to 50% for short and around 20% for long maturities.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 544
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Monetary Policy
- Thema
-
Affine term structure models
Dynamic Factor Models
FAVAR
yield curve
Zinsstruktur
Rendite
VAR-Modell
Theorie
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mönch, Emanuel
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mönch, Emanuel
- European Central Bank (ECB)
Entstanden
- 2005
Ähnliche Objekte (12)
Forecasting the Yield curve using priors from no arbitrage affine term structure models
Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence
Forecasting recessions using the yield curve
Comparing models for forecasting the yield curve
The forecasting power of internal yield curve linkages
Macro factors and the Brazilian yield curve with no arbitrage models
Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
Forecasting the Brazilian yield curve using forward-looking variables
Yield curve modeling and forecasting using semiparametric factor dynamics
Modelling and Forecasting the Yield Curve under Model uncertainty
Yield curve momentum
Yield curve control
Forecasting the Yield curve using priors from no arbitrage affine term structure models
Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence
Forecasting recessions using the yield curve
Comparing models for forecasting the yield curve
The forecasting power of internal yield curve linkages
Macro factors and the Brazilian yield curve with no arbitrage models
Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
Forecasting the Brazilian yield curve using forward-looking variables
Yield curve modeling and forecasting using semiparametric factor dynamics
Modelling and Forecasting the Yield Curve under Model uncertainty
Yield curve momentum
Yield curve control
Forecasting the Yield curve using priors from no arbitrage affine term structure models
Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence
Forecasting recessions using the yield curve
Comparing models for forecasting the yield curve
The forecasting power of internal yield curve linkages
Macro factors and the Brazilian yield curve with no arbitrage models
Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
Forecasting the Brazilian yield curve using forward-looking variables
Yield curve modeling and forecasting using semiparametric factor dynamics
Modelling and Forecasting the Yield Curve under Model uncertainty
Yield curve momentum