The information in the term structure: A non-parametric investigation

被引：0
|
作者：
Mizrach, B
机构：
来源：
JOURNAL OF FORECASTING | 1996年 / 15卷 / 03期
关键词：
term structure; interest rates; non-parametric; non-linear; nearest neighbours;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper proposes a non-linear term structure model that nests the discrete and continuous time models as special cases. I estimate the model non-parametrically using nearest-neighbours regression. In sample, the non-linear model matches the standard theories, but out of sample, it offers substantial improvement. Linear models fail to track future interest rates: a random walk dominates the forward rate as a predictor for 3-month Treasury bills. A non-linear forecast based on the spread is shown statistically to be the best forecast.
引用
收藏
页码：137 / 153
页数：17
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