A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12989 |
Resumo: | We evaluate the forecasting performance of a number of systems models of US shortand long-term interest rates. Non-linearities, induding asymmetries in the adjustment to equilibrium, are shown to result in more accurate short horizon forecasts. We find that both long and short rates respond to disequilibria in the spread in certain circumstances, which would not be evident from linear representations or from single-equation analyses of the short-term interest rate. |
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Galvão, Ana Beatriz CamatariClements, Michael PEscolas::EPGEFGV2014-12-23T14:01:26Z2014-12-23T14:01:26Z2001-07http://hdl.handle.net/10438/12989We evaluate the forecasting performance of a number of systems models of US shortand long-term interest rates. Non-linearities, induding asymmetries in the adjustment to equilibrium, are shown to result in more accurate short horizon forecasts. We find that both long and short rates respond to disequilibria in the spread in certain circumstances, which would not be evident from linear representations or from single-equation analyses of the short-term interest rate.engFundação Getulio Vargas. Escola de Pós-graduação em EconomiaSeminários de Almoço da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessA comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structureinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaTaxas de jurosTeorias não-linearesModelos lineares (Estatística)reponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000307810_g182c.pdf000307810_g182c.pdfapplication/pdf1207022https://repositorio.fgv.br/bitstreams/c2b65e0e-80cb-481f-99a9-69f2a0677e71/download78c995776059520a6a8f7474d3f29780MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure |
title |
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure |
spellingShingle |
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure Galvão, Ana Beatriz Camatari Economia Taxas de juros Teorias não-lineares Modelos lineares (Estatística) |
title_short |
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure |
title_full |
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure |
title_fullStr |
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure |
title_full_unstemmed |
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure |
title_sort |
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure |
author |
Galvão, Ana Beatriz Camatari |
author_facet |
Galvão, Ana Beatriz Camatari Clements, Michael P |
author_role |
author |
author2 |
Clements, Michael P |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Galvão, Ana Beatriz Camatari Clements, Michael P |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Taxas de juros Teorias não-lineares Modelos lineares (Estatística) |
dc.subject.bibliodata.por.fl_str_mv |
Taxas de juros Teorias não-lineares Modelos lineares (Estatística) |
description |
We evaluate the forecasting performance of a number of systems models of US shortand long-term interest rates. Non-linearities, induding asymmetries in the adjustment to equilibrium, are shown to result in more accurate short horizon forecasts. We find that both long and short rates respond to disequilibria in the spread in certain circumstances, which would not be evident from linear representations or from single-equation analyses of the short-term interest rate. |
publishDate |
2001 |
dc.date.issued.fl_str_mv |
2001-07 |
dc.date.accessioned.fl_str_mv |
2014-12-23T14:01:26Z |
dc.date.available.fl_str_mv |
2014-12-23T14:01:26Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12989 |
url |
http://hdl.handle.net/10438/12989 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de Almoço da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
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FGV |
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FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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