Forecasting the yield curve for the Euro region

被引：2

作者：

Tabak, B. M. ^{[1
,2
]}

Sollaci, A. B. ^{[3
]}

Gomes, G. M. ^{[4
]}

Cajueiro, D. O. ^{[3
]}

机构：

[1] Univ Catolica Brasilia, Dept Econ & Law & Econ, Brasilia, DF, Brazil

[2] Banco Cent Brasil, Brasilia, DF, Brazil

[3] Univ Brasilia, Dept Econ, BR-70910900 Brasilia, DF, Brazil

[4] Univ Brasilia, Dept Stat, BR-70910900 Brasilia, DF, Brazil

来源：

ECONOMICS LETTERS | 2012年 / 117卷 / 02期

关键词：

European yield curve; Dynamic Nelson-Siegel; Functional signal plus noise; Forecasting; Term structure of interest rates; BOND YIELDS;

D O I：

10.1016/j.econlet.2012.05.056

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper compares the forecast precision of the Functional Signal plus Noise (FSN), the Dynamic Nelson-Siegel (DL), and a random walk model. The empirical results suggest that both outperform the random walk at short horizons (one-month) and that the FSN model outperforms the DL at the one- and three-months forecasting horizon. The conclusions provided in this paper are important for policy makers, Fixed income portfolio managers, financial institutions and academics. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：513 / 516

页数：4

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