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
Optimal Time Varying Parameters in Yield Curve Modeling and Forecasting: A Simulation Study on BRICS Countries
Sign Up to like & getrecommendations! Published in 2024 at "Computational Economics"
DOI: 10.1007/s10614-024-10619-z
Abstract: The term structure of interest rates is a fundamental decision–making tool for various economic activities. Despite the huge number of contributions in the field, the development of a reliable framework for both fitting and forecasting… read more here.
Keywords: yield curve; time; optimal time; varying parameters ... 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;
Not all REITs are alike: modelling the dynamic connectedness of sectoral REITs and the US yield curve
Sign Up to like & getrecommendations! Published in 2024 at "Applied Economics"
DOI: 10.1080/00036846.2024.2373408
Abstract: ABSTRACT We model the dynamic connectedness between key sectoral REITs and the yield curve’s constituents. We employ both return and volatility of REITs and conduct analysis in static as well as time-varying framework. Our static… read more here.
Keywords: yield curve; sectoral reits; dynamic connectedness; connectedness sectoral ... See more keywords
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