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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. |
条目包含的文件 | 条目无相关文件。 |
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