A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US

Detalhes bibliográficos
Autor(a) principal: Vieira, Fausto José Araújo
Data de Publicação: 2017
Outros Autores: Chague, Fernando Daniel, Fernandes, Marcelo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/18016
Resumo: This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly improves interest rate forecasts relative to the extant models in the literature. For longer horizons, it beats autoregressive alternatives, with a reduction in mean absolute error of up to 40%. For shorter horizons, it offers a good challenge to autoregressive forecasting models, outperforming them for the 7- and 10-year yields. The out-of-sample analysis shows that the good performance comes mostly from the forward-looking nature of the variables we employ. Including them reduces the mean absolute error in 5 basis points on average with respect to models that reflect only past macroeconomic events.
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spelling Vieira, Fausto José AraújoChague, Fernando DanielFernandes, MarceloEscolas::EESP2017-03-07T14:21:58Z2017-03-07T14:21:58Z2017TD 445http://hdl.handle.net/10438/18016This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly improves interest rate forecasts relative to the extant models in the literature. For longer horizons, it beats autoregressive alternatives, with a reduction in mean absolute error of up to 40%. For shorter horizons, it offers a good challenge to autoregressive forecasting models, outperforming them for the 7- and 10-year yields. The out-of-sample analysis shows that the good performance comes mostly from the forward-looking nature of the variables we employ. Including them reduces the mean absolute error in 5 basis points on average with respect to models that reflect only past macroeconomic events.engEESP - Textos para Discussão;TD 445BondsFactor-augmented VARForecastingTerm structureYield curveEconomiaDebêntures - Estados UnidosDebêntures - Preços - Modelos econométricosInvestimentos - Estados UnidosA dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the USinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTTD 445 - Fausto_Fernando_Marcelo.pdf.txtTD 445 - Fausto_Fernando_Marcelo.pdf.txtExtracted texttext/plain79324https://repositorio.fgv.br/bitstreams/cfced81a-96d6-4c6e-ab8b-fe15c2829e2b/downloadaab049dce9101de22946284f1ab0269bMD58ORIGINALTD 445 - Fausto_Fernando_Marcelo.pdfTD 445 - 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dc.title.eng.fl_str_mv A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
title A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
spellingShingle A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
Vieira, Fausto José Araújo
Bonds
Factor-augmented VAR
Forecasting
Term structure
Yield curve
Economia
Debêntures - Estados Unidos
Debêntures - Preços - Modelos econométricos
Investimentos - Estados Unidos
title_short A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
title_full A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
title_fullStr A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
title_full_unstemmed A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
title_sort A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
author Vieira, Fausto José Araújo
author_facet Vieira, Fausto José Araújo
Chague, Fernando Daniel
Fernandes, Marcelo
author_role author
author2 Chague, Fernando Daniel
Fernandes, Marcelo
author2_role author
author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Vieira, Fausto José Araújo
Chague, Fernando Daniel
Fernandes, Marcelo
dc.subject.eng.fl_str_mv Bonds
Factor-augmented VAR
Forecasting
Term structure
Yield curve
topic Bonds
Factor-augmented VAR
Forecasting
Term structure
Yield curve
Economia
Debêntures - Estados Unidos
Debêntures - Preços - Modelos econométricos
Investimentos - Estados Unidos
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Debêntures - Estados Unidos
Debêntures - Preços - Modelos econométricos
Investimentos - Estados Unidos
description This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly improves interest rate forecasts relative to the extant models in the literature. For longer horizons, it beats autoregressive alternatives, with a reduction in mean absolute error of up to 40%. For shorter horizons, it offers a good challenge to autoregressive forecasting models, outperforming them for the 7- and 10-year yields. The out-of-sample analysis shows that the good performance comes mostly from the forward-looking nature of the variables we employ. Including them reduces the mean absolute error in 5 basis points on average with respect to models that reflect only past macroeconomic events.
publishDate 2017
dc.date.accessioned.fl_str_mv 2017-03-07T14:21:58Z
dc.date.available.fl_str_mv 2017-03-07T14:21:58Z
dc.date.issued.fl_str_mv 2017
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/18016
dc.identifier.sici.none.fl_str_mv TD 445
identifier_str_mv TD 445
url http://hdl.handle.net/10438/18016
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv EESP - Textos para Discussão;TD 445
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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