FORECASTING THE YIELD CURVE USING PRIORS FROM NO-ARBITRAGE AFFINE TERM STRUCTURE MODELS

• 成果类型: Article
• 署名作者: Carriero, Andrea
• 署名单位: University of London
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2011.00634.x
• 发表日期: 2011
• 页码: 425-459
• 关键词: monetary-policy; bond yields; time-series

摘要

I propose a strategy for forecasting the term structure of interest rates that may produce significant gains in predictive accuracy. The key idea is to use the restrictions implied by Gaussian, no-arbitrage, affine term structure models on a vector autoregression as prior information instead of imposing the restrictions dogmatically. This allows us to account for possible model misspecification. We use the proposed method to forecast a system of five U.S. yields up to 12 months ahead, and we find it provides significant gains in forecast accuracy.