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Forecasting the yield curve with linear factor models
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DOI：10.1016/j.irfa.2011.05.003.png)
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In this work we compare the interest rate forecasting performance of a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predictive power, but it does not outperform the random walk. We also find that macroeconomic variables and no-arbitrage conditions have little effect to improve the out-of-sample fit, while a financial variable (Stock Index) increases the forecasting accuracy. (C) 2011 Elsevier Inc. All rights reserved.
Keyword:
Yield curve forecasting
Macroeconomic variables
Affine models
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