Arbeitspapier
Forecasting with the term structure: The role of no-arbitrage restrictions
No-arbitrage term structure models impose cross-sectional restrictions among yields and can be used to impose dynamic restrictions on risk compensation. This paper evaluates the importance of these restrictions when using the term structure to forecast future bond yields. It concludes that no cross-sectional restrictions are helpful, because cross-sectional properties of yields are easy to infer with high precision. Dynamic restrictions are useful, but can be imposed without relying on the no-arbitrage structure. In practice, the most important dynamic restriction is that the first principal component of Treasury yields follows a random walk. A simple model built around this assumption produces out-of-sample forecasts that are more accurate than those of a variety of alternative dynamic models.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 576
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Duffee, Gregory R.
- Ereignis
-
Veröffentlichung
- (wer)
-
The Johns Hopkins University, Department of Economics
- (wo)
-
Baltimore, MD
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Duffee, Gregory R.
- The Johns Hopkins University, Department of Economics
Entstanden
- 2011
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
The mathematics of arbitrage
The mathematics of arbitrage
Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
Forecasting the world economy in the short-term
Forecasting commodity prices using the term structure
Forecasting the term structure of variance swaps
Forecasting the Term Structure of Variance Swaps
Arbitrage
No-arbitrage term structure models of credit risk and the business cycle
Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
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
The mathematics of arbitrage
The mathematics of arbitrage
Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
Forecasting the world economy in the short-term
Forecasting commodity prices using the term structure
Forecasting the term structure of variance swaps
Forecasting the Term Structure of Variance Swaps
Arbitrage
No-arbitrage term structure models of credit risk and the business cycle
Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
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
The mathematics of arbitrage
The mathematics of arbitrage
Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
Forecasting the world economy in the short-term
Forecasting commodity prices using the term structure
Forecasting the term structure of variance swaps
Forecasting the Term Structure of Variance Swaps
Arbitrage
No-arbitrage term structure models of credit risk and the business cycle