Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model

In this paper we estimate the yield curve of U.S. government bonds using a Markov switching latent variable model. We show how measures such as the level, slope, and curvature of the yield curve are a¤ected by business cycle conditions. We present a switching latent model which not only seem to capture this features in sample but also performs well out of sample.

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Year of publication:	2012-07
Authors:	Gonzalez-Rozada, Martin ; sola, Martin ; Hevia, Constantino ; Spagnolo, Fabio
Institutions:	Departamento de Economía, Universidad Torcuato Di Tella
Subject:	Yield Curve \| Term structure of interest rates \| Markov regime switching \| Maxi- mum likelihood \| Risk premium

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Extent:	application/pdf
Series:	Department of Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	47 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010980364