| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9738 |
| DP9738 Anchoring the Yield Curve Using Survey Expectations | |
| Raffaella Giacomini; Giuseppe Ragusa; Carlo Altavilla | |
| 发表日期 | 2013-11-17 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only for very short maturities. We argue that this is partly due to the ability of survey participants to incorporate information about the current state of the economy as well as forward-looking information such as that contained in monetary policy announcements. We show how the informational advantage of survey expectations about short yields can be exploited to improve the accuracy of yield curve forecasts given by a base model. We do so by employing a flexible projection method that anchors the model forecasts to the survey expectations in segments of the yield curve where the informational advantage exists and transmits the superior forecasting ability to all remaining yields. The method implicitly incorporates into yield curve forecasts any information that survey participants have access to, without the need to explicitly model it. We document that anchoring delivers large and significant gains in forecast accuracy for the whole yield curve, with improvements of up to 52% over the years 2000-2012 relative to the class of models that are widely adopted by financial and policy institutions for forecasting the term structure of interest rates. |
| 主题 | International Macroeconomics |
| 关键词 | Term structure models Exponential tilting Blue chip analysts survey Forecast performance Monetary policy forward guidance Macroeconomic factors |
| URL | https://cepr.org/publications/dp9738 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538574 |
| 推荐引用方式 GB/T 7714 | Raffaella Giacomini,Giuseppe Ragusa,Carlo Altavilla. DP9738 Anchoring the Yield Curve Using Survey Expectations. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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