Forecasting the Yield Curve With Macroeconomic Variables
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 the affine models are better in explaining future movements in int...
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| Format: | Article |
| Language: | English |
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SGH Warsaw School of Economics, Collegium of Economic Analysis
2016-05-01
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| Series: | Econometric Research in Finance |
| Online Access: | https://erfin.org/journal/index.php/erfin/article/view/1 |
| _version_ | 1828947064041504768 |
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| author | Michał Rubaszek |
| author_facet | Michał Rubaszek |
| author_sort | Michał Rubaszek |
| collection | DOAJ |
| description | 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 the affine models are better in explaining future movements in interest rates than the benchmark, arbitrage-free model. Moreover, we show that interest rates forecasts conditional on the realization of inflation and the unemployment rate are more accurate than unconditional forecasts. |
| first_indexed | 2024-12-14T05:21:25Z |
| format | Article |
| id | doaj.art-d3df7131e7994357b465c59c48cf8f60 |
| institution | Directory Open Access Journal |
| issn | 2451-1935 2451-2370 |
| language | English |
| last_indexed | 2024-12-14T05:21:25Z |
| publishDate | 2016-05-01 |
| publisher | SGH Warsaw School of Economics, Collegium of Economic Analysis |
| record_format | Article |
| series | Econometric Research in Finance |
| spelling | doaj.art-d3df7131e7994357b465c59c48cf8f602022-12-21T23:15:38ZengSGH Warsaw School of Economics, Collegium of Economic AnalysisEconometric Research in Finance2451-19352451-23702016-05-011112110.33119/ERFIN.2016.1.1.11Forecasting the Yield Curve With Macroeconomic VariablesMichał Rubaszek0Warsaw School of Economics, Econometrics InstituteThis 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 the affine models are better in explaining future movements in interest rates than the benchmark, arbitrage-free model. Moreover, we show that interest rates forecasts conditional on the realization of inflation and the unemployment rate are more accurate than unconditional forecasts.https://erfin.org/journal/index.php/erfin/article/view/1 |
| spellingShingle | Michał Rubaszek Forecasting the Yield Curve With Macroeconomic Variables Econometric Research in Finance |
| title | Forecasting the Yield Curve With Macroeconomic Variables |
| title_full | Forecasting the Yield Curve With Macroeconomic Variables |
| title_fullStr | Forecasting the Yield Curve With Macroeconomic Variables |
| title_full_unstemmed | Forecasting the Yield Curve With Macroeconomic Variables |
| title_short | Forecasting the Yield Curve With Macroeconomic Variables |
| title_sort | forecasting the yield curve with macroeconomic variables |
| url | https://erfin.org/journal/index.php/erfin/article/view/1 |
| work_keys_str_mv | AT michałrubaszek forecastingtheyieldcurvewithmacroeconomicvariables |