Using the yield curve to forecast economic growth
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Forecasting"
DOI: 10.1002/for.2676
Abstract: This paper finds the yield curve to have a well‐performing ability to forecast the real gross domestic product growth in the USA, compared to professional forecasters and time series models. Past studies have different arguments… read more here.
Keywords: economic growth; forecast economic; yield curve; curve forecast ... See more keywords
The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter?
Sign Up to like & getrecommendations! Published in 2020 at "Empirica"
DOI: 10.1007/s10663-018-9405-y
Abstract: We study the dynamic relation between sovereign yield curve and external shocks driven by global uncertainty and capital inflows. A Nelson–Siegel model is estimated to capture the three latent factors of the yield curve corresponding… read more here.
Keywords: sovereign yield; yield curve; external factors; shape ... See more keywords
Forecasting the yield curve using a dynamic natural cubic spline model
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2018.04.009
Abstract: We propose a dynamic natural cubic spline model with a two-step procedure for the forecasting of the entire yield curve. We apply our method to the monthly Chinese yield-curve data and evaluate the out-of-sample forecast… read more here.
Keywords: cubic spline; dynamic natural; yield curve; yield ... See more keywords
US and EA yield curve persistence during the COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102087
Abstract: Abstract This paper investigates changes in persistence caused by the COVID-19 pandemic in the US and EA yield curves. We extract the long-term, short-term and medium-term factors and proxy the persistence by estimating the autoregressive… read more here.
Keywords: yield curve; curve persistence; term; persistence ... See more keywords
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Economic Dynamics and Control"
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
Reconstructing the yield curve
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2021.05.059
Abstract: Abstract The constant maturity zero-coupon yield curve for the US Treasuries is one of the most studied datasets. We construct a new yield curve using a non-parametric kernel-smoothing method with a novel adaptive bandwidth specifically… read more here.
Keywords: yield curve; yield; reconstructing yield;
Inter-dependencies among Asian bond markets
Sign Up to like & getrecommendations! Published in 2017 at "Studies in Economics and Finance"
DOI: 10.1108/sef-11-2015-0273
Abstract: Purpose - The purpose of the paper is to investigate the global and regional influences on the domestic term structure of nine Asian economies. Design/methodology/approach - The dynamic Nelson Siegel model was used to extract… read more here.
Keywords: asian bond; yield curve; bond markets; curve ... See more keywords