forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no …

to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are …

yield curve where the informational advantage exists and transmits the superior forecasting ability to all remaining yields … are widely adopted by financial and policy institutions for forecasting the term structure of interest rates. …

yield curve where the informational advantage exists and transmits the superior forecasting ability to all remaining yields … are widely adopted by financial and policy institutions for forecasting the term structure of interest rates. …

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary … process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields … the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by …

. 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. …

-of-fit and clearly reduces the forecasting uncertainty particularly in low-volatility periods. The proposed approach is shown to …

excess returns we observe that the slope and cur- vature yield factors contain the same explanatory power as the return-forecasting …