全球智库信息集成服务系统(G2TT): Forecasting the Term Structure of Government Bond Yields

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w10048
来源ID	Working Paper 10048
	Forecasting the Term Structure of Government Bond Yields
	Francis X. Diebold; Canlin Li
发表日期	2003-10-27
出版年	2003
语种	英语
摘要	Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross section of interest rates at any given time but neglects time-series dynamics, nor the equilibrium approach, which focuses on time-series dynamics (primarily those of the instantaneous rate) but pays comparatively little attention to fitting the entire cross section at any given time and has been shown to forecast poorly. Instead, we use variations on the Nelson-Siegel exponential components framework to model the entire yield curve, period-by-period, as a three dimensional parameter evolving dynamically. We show that the three time-varying parameters may be interpreted as factors corresponding to level, slope and curvature, and that they may be estimated with high efficiency. We propose and estimate autoregressive models for the factors, and we show that our models are consistent with a variety of stylized facts regarding the yield curve. We use our models to produce term-structure forecasts at both short and long horizons encouraging results. In particular, our forecasts appear much more accurate at long horizons than various standard benchmark forecasts.
主题	Financial Economics ; Financial Markets ; Macroeconomics ; Money and Interest Rates
URL	https://www.nber.org/papers/w10048
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/567676
推荐引用方式 GB/T 7714	Francis X. Diebold,Canlin Li. Forecasting the Term Structure of Government Bond Yields. 2003.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w10048.pdf（404KB）	智库出版物		限制开放	CC BY-NC-SA	浏览