Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models
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DOI: 10.1016/j.jedc.2019.103723
Abstract: We use monthly data on the US riskless yield curve for a 1982-2015 sample to show that mixing simple regime switching dynamics with Nelson-Siegel factor forecasts from time series models extended to encompass variables that… read more here.
Keywords: riskless yield; monetary policy; yield curve; policy ... See more keywords