全球智库信息集成服务系统(G2TT): DP9848 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9848
	DP9848 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
	Massimiliano Marcellino; Andrea Carriero; Todd Clark
发表日期	2014-03-02
出版年	2014
语种	英语
摘要	We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispecification of an underlying Gaussian Affine Term Structure Model (GATSM) and (ii) the time varying volatility of interest rates. For this, we derive a Bayesian prior from a GATSM and use it to estimate the coefficients of a BVAR for the term structure, specifying a common, multiplicative, time varying volatility for the VAR disturbances. Results based on U.S. data show that this method significantly improves the precision of point and density forecasts of the term structure. While this paper focuses on term structure modelling, the proposed method can be applied for a wide range of alternative models, including DSGE models, and is a generalization of the method of Del Negro and Schorfheide (2004) to VARs featuring drifting volatilities. The method also generalizes the model of Giannone et al. (2012), by specifying hierarchically not only the prior variance but also the prior mean of the VAR coefficients. Our results show that both time variation in volatilities, and a hierarchical specification for the prior means, improve model fit and forecasting performance.
主题	International Macroeconomics
关键词	Density forecasting No arbitrage stochastic volatility Term structure
URL	https://cepr.org/publications/dp9848
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/538682
推荐引用方式 GB/T 7714	Massimiliano Marcellino,Andrea Carriero,Todd Clark. DP9848 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. 2014.