G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9848
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
URLhttps://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.
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