| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP6226
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| DP6226 Sectoral Transformation, Turbulence, and Labour Market Dynamics in Germany |
| Michael Burda; Ronald Bachmann
|
| 发表日期 | 2007-03-28
|
| 出版年 | 2007
|
| 语种 | 英语
|
| 摘要 | This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact on forecasting performance of two crucial modelling choices, i.e. the imposition of no-arbitrage restrictions and the size of the information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting at medium/long forecasting horizon; b. financial factors are useful in short run forecasting; c. no-arbitrage models are effective in shrinking the dimensionality of the parameter space and, when supplemented with additional macro information, are very effective in forecasting; d. within no-arbitrage models, assuming time-varying risk price is more favourable than assuming constant risk price for medium horizon-maturity forecast when yield factors dominate the information set, and for short horizon and long maturity forecast when macro factors dominate the information set; e. however, given the complexity and the highly non-linear parameterization of no-arbitrage models, it is very difficult to exploit within this type of models the additional information offered by large macroeconomic datasets. |
| 主题 | International Macroeconomics
|
| 关键词 | Factor models
Forecasting
Large data set
Term structure of interest rates
Yield curve
|
| URL | https://cepr.org/publications/dp6226
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535061
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推荐引用方式
GB/T 7714 |
Michael Burda,Ronald Bachmann. DP6226 Sectoral Transformation, Turbulence, and Labour Market Dynamics in Germany. 2007.
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