Narrow search
Showing 34,971 - 34,980 of 35,100
Cover Image
Predicting output using the entire yield curve
Abdymomunov, Azamat - In: Journal of Macroeconomics 37 (2013) C, pp. 333-344
Many papers find that the term spread of the term structure of government bond yields can predict future output growth …
Persistent link: https://www.econbiz.de/10010682577
Cover Image
Forecast combination for U.S. recessions with real-time data
Pauwels, Laurent L.; Vasnev, Andrey - Business School, University of Sydney - 2013
This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident...
Persistent link: https://www.econbiz.de/10010685232
Cover Image
Pricing Bonds in the Australian Market
Bilson, Christopher M.; Brailsford, Timothy J.; … - In: Australian Journal of Management 33 (2008) 1, pp. 123-143
This paper provides an examination of term structure models in the Australian bond market. Specifically, we examine the … underprice a bond at the short and medium ends of the term structure and generally overprice bonds at the long end. Further, the … implications for bond pricing in relatively illiquid markets like Australia's. …
Persistent link: https://www.econbiz.de/10010769383
Cover Image
Principales determinantes en las decisiones de política monetaria de México: un análisis econométrico
León, Isela Elizabeth Téllez; Martínez, Francisco Venegas - In: Estudios Económicos 28 (2013) 1, pp. 79-108
This paper identifies the determinants that affect the probability of deviations from the target interest rate (overnight interbank rate) of Bank of Mexico, through the development of several binary probit models. Among, the determinants of monetary policy decisions of Bank of Mexico several...
Persistent link: https://www.econbiz.de/10010776495
Cover Image
Forecast combination for U.S. recessions with real-time data
Pauwels, Laurent; Vasnev, Andrey - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 138-148
This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident...
Persistent link: https://www.econbiz.de/10010777011
Cover Image
The Macroeconomic Determinants of the US Term-Structure during the Great Moderation
Paccagnini, Alessia - Dipartimento di Economia, Metodi Quantitativi e … - 2014
The aim of this paper is to study how the macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...
Persistent link: https://www.econbiz.de/10010779619
Cover Image
Term Structure Persistence
Abbritti, Mirko; Gil-Alana, Luis; Lovcha, Yuliya; … - School of Economics and Business Administration, … - 2012
Stationary I(0) models employed in yield curve analysis typically imply an unrealistically low degree of volatility in long-run short-rate expectations due to fast mean reversion. In this paper we propose a novel multivariate affine term structure model with a two-fold source of persistence in...
Persistent link: https://www.econbiz.de/10010599199
Cover Image
Liquidity and Yield Curve Estimation
Tsai, Shih-Chuan - In: Emerging Markets Finance and Trade 48 (2012) 5, pp. 4-24
values and different bond issues, and it becomes more substantial when the forecasting period expands. …
Persistent link: https://www.econbiz.de/10010602191
Cover Image
High Dimensional Yield Curves: Models and Forecasting
Bowsher, Clive; Meeks, Roland - Department of Economics, Oxford University - 2006
Functional Signal plus Noise (FSN) models are proposed for analysing the dynamics of a large cross-section of yields or asset prices in which contemporaneous observations are functionally related. The FSN models are used to forecast high dimensional yield curves for US Treasury bonds at the one...
Persistent link: https://www.econbiz.de/10010661419
Cover Image
The Canadian macroeconomy and the yield curve: A dynamic latent factor approach
Lange, Ronald H. - In: International Review of Economics & Finance 27 (2013) C, pp. 261-274
This study estimates a dynamic latent factor model of the yield curve for Canada using a newly constructed data series on the term structure of constant-maturity, zero-coupon interest rates. The state-space representation of the model is used to assess the dynamic interaction between three...
Persistent link: https://www.econbiz.de/10010664332