Interest rate dynamic models: Evidence from Iberian markets

Detalhes bibliográficos
Autor(a) principal: Maldonado, Isabel
Data de Publicação: 2018
Outros Autores: Pinho, Carlos, Rodríguez de Prado, Francisco, Lobo, Carla Azevedo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/11328/2343
Resumo: In this paper we investigate the yield curve forecasting performance of dynamic models combining yield curve factors and macroeconomic variables. We test dynamic models using sovereign debt data, inflation rate and annual variation of the industrial production index for Portugal and Spain. We also explore the dynamic correlations between the yield curve factors of the countries under analysis. Results indicate that the consideration of macroeconomic factors has a positive contribution to the improvement of forecasts. The analysis shows a strong correlation between the two countries level factor and important changes in the curvature factor correlations associated with international crisis episodes.
id RCAP_7c72d2b6e72a87bc744e74b452b270bf
oai_identifier_str oai:repositorio.uportu.pt:11328/2343
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str
spelling Interest rate dynamic models: Evidence from Iberian marketsTerm structure of interest rates factorsMacroeconomic informationForecastingDCCEstructura temporal de las tasas de interésInformación macroeconómicaPrevisiónIn this paper we investigate the yield curve forecasting performance of dynamic models combining yield curve factors and macroeconomic variables. We test dynamic models using sovereign debt data, inflation rate and annual variation of the industrial production index for Portugal and Spain. We also explore the dynamic correlations between the yield curve factors of the countries under analysis. Results indicate that the consideration of macroeconomic factors has a positive contribution to the improvement of forecasts. The analysis shows a strong correlation between the two countries level factor and important changes in the curvature factor correlations associated with international crisis episodes.En este trabajo investigamos la capacidad de previsión de modelos dinámicos de la estructura temporal de las tasas de interés que combinan factores de la curva de rendimiento y variables macroeconómicas. Probamos los modelos dinámicos de la curva de rendimiento utilizando datos de deuda pública, tasa de inflación y variación anual del índice de producción industrial para Portugal y España.También exploramos las correlaciones dinámicas entre los factores de curva de rendimiento de los países bajo análisis. Los resultados indican que la consideración de los factores macroeconómicos tiene una contribución positiva a la mejora de las previsiones para los dos. El análisis de correlaciones muestra una fuerte correlación entre el factor de nivel de dos países y cambios importantes en las correlaciones del factor de curvatura asociadas con episodios internacionales de crisis.2018-10-11T14:46:18Z2018-01-01T00:00:00Z2018info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/11328/2343eng0798-1015Maldonado, IsabelPinho, CarlosRodríguez de Prado, FranciscoLobo, Carla Azevedoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-06-15T02:10:38ZPortal AgregadorONG
dc.title.none.fl_str_mv Interest rate dynamic models: Evidence from Iberian markets
title Interest rate dynamic models: Evidence from Iberian markets
spellingShingle Interest rate dynamic models: Evidence from Iberian markets
Maldonado, Isabel
Term structure of interest rates factors
Macroeconomic information
Forecasting
DCC
Estructura temporal de las tasas de interés
Información macroeconómica
Previsión
title_short Interest rate dynamic models: Evidence from Iberian markets
title_full Interest rate dynamic models: Evidence from Iberian markets
title_fullStr Interest rate dynamic models: Evidence from Iberian markets
title_full_unstemmed Interest rate dynamic models: Evidence from Iberian markets
title_sort Interest rate dynamic models: Evidence from Iberian markets
author Maldonado, Isabel
author_facet Maldonado, Isabel
Pinho, Carlos
Rodríguez de Prado, Francisco
Lobo, Carla Azevedo
author_role author
author2 Pinho, Carlos
Rodríguez de Prado, Francisco
Lobo, Carla Azevedo
author2_role author
author
author
dc.contributor.author.fl_str_mv Maldonado, Isabel
Pinho, Carlos
Rodríguez de Prado, Francisco
Lobo, Carla Azevedo
dc.subject.por.fl_str_mv Term structure of interest rates factors
Macroeconomic information
Forecasting
DCC
Estructura temporal de las tasas de interés
Información macroeconómica
Previsión
topic Term structure of interest rates factors
Macroeconomic information
Forecasting
DCC
Estructura temporal de las tasas de interés
Información macroeconómica
Previsión
description In this paper we investigate the yield curve forecasting performance of dynamic models combining yield curve factors and macroeconomic variables. We test dynamic models using sovereign debt data, inflation rate and annual variation of the industrial production index for Portugal and Spain. We also explore the dynamic correlations between the yield curve factors of the countries under analysis. Results indicate that the consideration of macroeconomic factors has a positive contribution to the improvement of forecasts. The analysis shows a strong correlation between the two countries level factor and important changes in the curvature factor correlations associated with international crisis episodes.
publishDate 2018
dc.date.none.fl_str_mv 2018-10-11T14:46:18Z
2018-01-01T00:00:00Z
2018
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/11328/2343
url http://hdl.handle.net/11328/2343
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0798-1015
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1777302552541396992

Registros relacionados