发帖
雷达卡
abbr_80fae1ade3988d59a007ff9a53bfa47b.pdf
(989.19 KB)
This paper presents a new framework allowing strategic investors to generate yield curve
projections contingent on expectations about future macroeconomic scenarios. By
consistently linking the shape and location of yield curves to the state of the economy our
method generates predictions for the full yield-curve distribution under different assumptions
on the future state of the economy. On the technical side, our model represents a regime-
switching expansion of Diebold and Li (2003) and hence rests on the Nelson-Siegel
functional form set in state-space form. We allow transition probabilities in the regime-
switching set-up to depend on observed macroeconomic variables and thus create a link
between the macro economy and the shape and location of yield curves and their time-series
evolution. The model is successfully applied to US yield curve data covering the period from
1953 to 2004 and encouraging out-of-sample results are obtained, in particular at forecasting
horizons longer than 24 months.
京公网安备 11010802022788号
