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Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information

Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007 - This version: March 3, 2007

. Our results show that adding macroeconomic factors is very beneficial for improving the out-of-sample forecasting … substantial gains in forecasting performance, especially when applying Bayesian model averaging. …

Persistent link: https://www.econbiz.de/10011372519

Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

Koopman, Siem Jan; Wel, Michel van der - 2011

factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we … the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion …

Persistent link: https://www.econbiz.de/10011386428

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area

Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...

Persistent link: https://www.econbiz.de/10010362975

Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010391543

Forecasting interest rates with shifting

Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - 2012

Persistent link: https://www.econbiz.de/10009723022

Examing the Nelson-Siegel class of term structure models : in-sample fit versus out-of-sample forecasting performance

Pooter, Michiel de - 2007

Persistent link: https://www.econbiz.de/10003482682

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently …

Persistent link: https://www.econbiz.de/10011373825

Forecasting with Bayesian vector autoregressions with time variation in the mean

Bańbura, Marta; Vlodrop, Andries van - 2018

or demographics. We show the good forecasting performance of the model relative to popular alternatives, including … about the unconditional mean and along with the time variation improves the long-run forecasting performance of the VAR …

Persistent link: https://www.econbiz.de/10011809970

Statistical early warning models with applications

Harlaar, Lucas P.; Commandeur, Jacques Jean François; … - 2024

This paper investigates the feasibility of using earlier provisional data to improve the now- and forecasting accuracy … the municipal level. The results demonstrate the effectiveness of our proposed approach in improving forecasting …

Persistent link: https://www.econbiz.de/10015062979

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2010

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

Persistent link: https://www.econbiz.de/10011378359

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